Adaptive quantile computation for Brownian bridge in change-point analysis

DOI10.1016/J.CSDA.2021.107375MaRDI QIDQ2072415zbMATH OpenOpenAlexFDO

Authors Jürgen Franke, Mario Hefter, André Herzwurm, Klaus Ritter, Stefanie Schwaar

Publication date 26 January 2022

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.00064

zbMATH Keywords

adaptive discretizationchange-point problemMonte Carlo algorithmsup-norm quantilesweighted Brownian bridgeweighted CUSUM statistic

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• A weighted U-statistic based change point test for multivariate time series
• A new and flexible class of sharp asymptotic time-uniform confidence sequences
• Change point detection in high-dimensional data with U-statistics
• Estimation of change points for non-linear (auto-)regressive processes using neural network functions

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