Adaptive quantile computation for Brownian bridge in change-point analysis
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Publication:2072415
DOI10.1016/j.csda.2021.107375OpenAlexW3209653947MaRDI QIDQ2072415
Stefanie Schwaar, Jürgen Franke, Mario Hefter, Klaus Ritter, André Herzwurm
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
change-point problemMonte Carlo algorithmadaptive discretizationweighted Brownian bridgesup-norm quantilesweighted CUSUM statistic
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Cites Work
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