Year: 2020
Type: preprint
Abstract: The q-weighted CUSUM and their corresponding estimator are well known statistics for change-point detection and estimation. They have the difficulty that the performance is highly dependent on the location of the change. An adaptive estimator with data-driven weights is presented to overcome this problem, and it is shown that the corresponding adaptive change-point tests are valid.
Source: arXiv (Cornell University)
Author: Schwaar, Stefanie
Institution: Fraunhofer-Gesellschaft
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3093564077