Univariate mean change point detection: penalization, CUSUM and optimality (Q2180083)

Let \(X_1,\dots, X_n\) be independent sub-Gaussian random variables with continuous densities such that \(\mathbb{E}X_i=f_i\) and \(\max\limits_{i\in\{1,\dots,n\}}\|X_i-f_i\|\leqslant \sigma\), where \(\| \cdot\|\) denotes the Orlicz norm. Let \(\{\eta_0,\dots,\eta_K\}\subset\{1,\dots,n\}\) be a collection of change points such that \(1\leqslant\eta_0<\eta_1<\dots<\eta_K\leqslant n<\eta_{K+1}=n+1\) and \[ f_t\neq f_{t-1}\ \Leftrightarrow \ t\in\{\eta_1,\dots,\eta_K\}. \] Denote \(\min\limits_{k\in\{1,\dots,K+1\}}(\eta_k-\eta_{k-1})=\Delta\) and \(\min\limits_{k\in\{1,\dots,K\}}|f_{\eta_k}-f_{\eta_{k-1}}|=\kappa\). The model under consideration is completely defined by the sample size \(n\), the upper bound of fluctuation \(\sigma\), the minimal spacing between two consecutive change points \(\Delta\) and the lower bound of the jump size \(\kappa\). The authors of the paper consider the consistency of the change point estimators \(\{\widehat{\eta}_1< \dots <\widehat{\eta}_{\widehat{K}}\}\) such that \[ \widehat{K}=K,\ \max\limits_{k\in\{1,\dots,\widehat{K}\}}|\widehat{\eta}_k-\eta_k|\leqslant \varepsilon=\varepsilon(n), \] where the localization rate \(\varepsilon/\Delta\rightarrow 0\), as \(n\rightarrow\infty\), with probability close to the unit.