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Convergence of changepoint estimators

Author

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  • Ferger, Dietmar
  • Stute, Winfried

Abstract

Let Xn1, ..., Xnn be an array of independent random vectors such that Xn1, ..., Xn[n[theta]] have distribution function F, and Xn[n[theta]]+1, ..., Xnn have distribution function G with F [not equal to] G. In this paper we propose an estimator [theta]n of the changepoint [theta] and show that n([theta]n-[theta]) = O(ln n) with probability one

Suggested Citation

  • Ferger, Dietmar & Stute, Winfried, 1992. "Convergence of changepoint estimators," Stochastic Processes and their Applications, Elsevier, vol. 42(2), pages 345-351, September.
    • Handle: RePEc:eee:spapps:v:42:y:1992:i:2:p:345-351
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    Citations

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    Cited by:

    1. Natalie Neumeyer & Ingrid Van Keilegom, 2009. "Change‐Point Tests for the Error Distribution in Non‐parametric Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 518-541, September.
    2. Gombay, Edit, 2001. "U-Statistics for Change under Alternatives," Journal of Multivariate Analysis, Elsevier, vol. 78(1), pages 139-158, July.
    3. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
    4. Maria Mohr & Leonie Selk, 2020. "Estimating change points in nonparametric time series regression models," Statistical Papers, Springer, vol. 61(4), pages 1437-1463, August.
    5. Rukhin, Andrew L., 1996. "The rates of convergence of Bayes estimators in change-point analysis," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 319-329, May.
    6. Lee, Chung-Bow, 1996. "Nonparametric multiple change-point estimators," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 295-304, May.

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