Optimal change-point estimation from indirect observations
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Abstract: We study nonparametric change-point estimation from indirect noisy observations. Focusing on the white noise convolution model, we consider two classes of functions that are smooth apart from the change-point. We establish lower bounds on the minimax risk in estimating the change-point and develop rate optimal estimation procedures. The results demonstrate that the best achievable rates of convergence are determined both by smoothness of the function away from the change-point and by the degree of ill-posedness of the convolution operator. Optimality is obtained by introducing a new technique that involves, as a key element, detection of zero crossings of an estimate of the properly smoothed second derivative of the underlying function.
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Cited in
(24)- Kink estimation in stochastic regression with dependent errors and predictors
- Jump estimation in inverse regression
- Posterior convergence and model estimation in Bayesian change-point problems
- Minimax lower bound for kink location estimators in a nonparametric regression model with long-range dependence
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- Optimal allocation of change points in simple step-stress experiments under type-II censoring
- Gradual variance change point detection with a smoothly changing mean trend
- OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS
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- Kink estimation with correlated noise
- Asymptotics for \(p\)-value based threshold estimation in regression settings
- Detection of slightly expressed changes in random environment
- Local modal regression
- Singularity estimation via structural intensity: applications and modifications
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