A Data-driven Change-point Estimator

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 pr...

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Bibliographic Details
Main Author Schwaar, Stefanie
Format Journal Article
LanguageEnglish
Published 23.10.2020
Subjects
Mathematics - Statistics Theory
Statistics - Applications
Statistics - Theory
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Summary: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.
DOI:10.48550/arxiv.2010.12449