Equivariant variance estimation for multiple change-point model

DOI10.1214/23-EJS2190MaRDI QIDQ6184930zbMATH OpenOpenAlexFDO

Authors Ning Hao, Yue Selena Niu, Han Xiao

Publication date 5 January 2024

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.09431, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-17/issue-2/Equivariant-variance-estimation-for-multiple-change-point-model/10.1214/23-EJS2190.full

zbMATH Keywords

change-point detectioninferenceminimaxquadratic estimatortotal variationunbiasedness

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: The variance of noise plays an important role in many change-point detection procedures and the associated inferences. Most commonly used variance estimators require strong assumptions on the true mean structure or normality of the error distribution, which may not hold in applications. More importantly, the qualities of these estimators have not been discussed systematically in the literature. In this paper, we introduce a framework of equivariant variance estimation for multiple change-point models. In particular, we characterize the set of all equivariant unbiased quadratic variance estimators for a family of change-point model classes, and develop a minimax theory for such estimators.

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