Optimal change-point estimation in time series

DOI10.1214/20-AOS2039zbMATH Open1480.62172OpenAlexW3203163236MaRDI QIDQ2054501FDOQ2054501

Authors: Ngai Hang Chan, Wai Leong Ng, Chun Yip Yau, Haihan Yu 

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/annals-of-statistics/volume-49/issue-4/Optimal-change-point-estimation-in-time-series/10.1214/20-AOS2039.full

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zbMATH Keywords

confidence intervalstructural breakBayes-type estimatorpiecewise stationary time seriesdouble-sided random process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) (L^p)-limit theorems (60F25)

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Cited In (4)

• Estimation of a change-point in the mean function of functional data
• Title not available (Why is that?)
• OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS
• Exact Decoding of a Sequentially Markov Coalescent Model in Genetics

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