Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process

Pedro Galeano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper studies the problem of multiple changepoints in rate parameter of a Poisson process. We propose a binary segmentation algorithm in conjunction with a cumulative sums statistic for detection of changepoints such that in each step we need only to test the presence of a simple changepoint. We derive the asymptotic distribution of the proposed statistic, prove its consistency and obtain the limiting distribution of the estimate of the changepoint. A Monte Carlo analysis shows the good performance of the proposed procedure, which is illustrated with a real data example.

Date: 2004-12
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws046816

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