Adaptive quantile computation for Brownian bridge in change-point analysis

DOI10.1016/j.csda.2021.107375OpenAlexW3209653947MaRDI QIDQ2072415

Stefanie Schwaar, Jürgen Franke, Mario Hefter, Klaus Ritter, André Herzwurm

Publication date: 26 January 2022

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.00064

zbMATH Keywords

change-point problemMonte Carlo algorithmadaptive discretizationweighted Brownian bridgesup-norm quantilesweighted CUSUM statistic

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

A weighted U-statistic based change point test for multivariate time series

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