Nonparametric point estimators for the change-point problem

Stephen M. Scariano · Terry A. Watkins

7 citations0/0 files storedCommunication in Statistics- Theory and Methods

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Advanced Statistical Process Monitoring Probability and Statistical Research Statistical Methods and Inference

Abstract

Three nonparametric methods for estimating a change-point, and the mean function Pefore and after the change has occurred are developed for a restricted class of processes. The estimators which are developed are intuitive, and their asymptotic behavior is studied, Konte Cario cornparisoris are undertaKen for smali and moderate samples.

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References

1970Inference About the Change-Point in a Sequence of Random Variables 1955A Test for a Change in a Parameter Occurring at an Unknown Point 1971Inference about the Change-Point from Cumulative Sum Tests 1985Counted Data CUSUM's 1986Confidence Regions and Tests for a Change-Point in a Sequence of Exponential Family Random Variables 1980A Simple Cumulative Sum Type Statistic for the Change-Point Problem with Zero-One Observations 1970Inference About the Change-Point in a Sequence of Binomial Variables 1984Nonparametric statistical procedures for the changepoint problem

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