Bootstrap for change point detection
From MaRDI portal
Abstract: In Change point detection task Likelihood Ratio Test (LRT) is sequentially applied in a sliding window procedure. Its high values indicate changes of parametric distribution in the data sequence. Correspondingly LRT values require predefined bound for their maximum. The maximum value has unknown distribution and may be calibrated with multiplier bootstrap. Bootstrap procedure convolves independent components of the Likelihood function with random weights, that enables to estimate empirically LRT distribution. For this empirical distribution of the LRT we show convergence rates to the real maximum value distribution.
This page was built for publication: Bootstrap for change point detection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6292795)
