Change-point analysis using logarithmic quantile estimation

We present a new approach for estimating quantiles for change-point problems, specifically for Pettitt’s rank test (1979). We use the logarithmic quantile estimation procedure introduced by Thangavelu (2005), which is based on the concept of the almost sure limit theorem. Numerical results for small...

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Bibliographic Details
Published inStatistics & probability letters Vol. 150; pp. 94 - 100
Main Authors Tabacu, Lucia, Ledbetter, Mark
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.07.2019
Subjects
Almost sure limit theorem
Logarithmic quantile estimation
Martingale
Permutation
Pettitt rank test
Pettitt rank test
Permutation
Almost sure limit theorem
Logarithmic quantile estimation
Martingale
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Summary:We present a new approach for estimating quantiles for change-point problems, specifically for Pettitt’s rank test (1979). We use the logarithmic quantile estimation procedure introduced by Thangavelu (2005), which is based on the concept of the almost sure limit theorem. Numerical results for small data sets and simulated data are given.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2019.02.014