An efficient algorithm for estimating a change-point

DOI10.1016/J.SPL.2008.09.031MaRDI QIDQ1007338zbMATH OpenOpenAlexFDO

Authors Tsung-Lin Cheng

Publication date 20 March 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.09.031

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30)

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Cites work

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• Generalized autoregressive conditional heteroscedasticity
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• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
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Cited in

(10)

• A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
• A computationally efficient approach on detecting star-shaped change boundaries in random fields with heavy-tailed distributions
• An algorithm for detecting a change in a stochastic process
• On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
• A strong convergence rate of estimator of variance change in linear processes and its applications
• Strong convergence rate of robust estimator of change point
• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection
• An efficient algorithm to estimate the change in variance
• A fast estimation method for mean change point in massive data sets
• An efficient operator for the change point estimation in partial spline model

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