Estimation of Change-Point Models

L. Bai

doi:10.1007/s10958-022-05825-9

Estimation of Change-Point Models

L. Bai^*

^*Corresponding author for this work

University of Lausanne

Research output: Contribution to journal › Article › peer-review

Abstract

We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields with trend, which then help us to give the asymptotic p-value approximations of the likelihood ratio statistics from change-point models.

Original language	English
Pages (from-to)	425-441
Number of pages	17
Journal	Journal of Mathematical Sciences (United States)
Volume	262
Issue number	4
DOIs	https://doi.org/10.1007/s10958-022-05825-9
Publication status	Published - Apr 2022
Externally published	Yes

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10.1007/s10958-022-05825-9

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title = "Estimation of Change-Point Models",

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AB - We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields with trend, which then help us to give the asymptotic p-value approximations of the likelihood ratio statistics from change-point models.

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Estimation of Change-Point Models

Abstract

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