Adaptive quantile computation for Brownian bridge in change-point analysis (Q2072415)
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scientific article; zbMATH DE number 7464469
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| English | Adaptive quantile computation for Brownian bridge in change-point analysis |
scientific article; zbMATH DE number 7464469 |
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Adaptive quantile computation for Brownian bridge in change-point analysis (English)
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26 January 2022
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change-point problem
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weighted CUSUM statistic
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weighted Brownian bridge
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sup-norm quantiles
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Monte Carlo algorithm
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adaptive discretization
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0.7274066805839539
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0.719124972820282
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0.7122976183891296
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