Weighted Least Squares Estimators for a Change-Point

Ferger Dietmar
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Ferger Dietmar: Department of Mathematics, Technische Universität Dresden, Helmholtzstr. 10, D-0106 Dresden, Germany

Stochastics and Quality Control, 2005, vol. 20, issue 2, 255-270

Abstract: This article deals with estimation of the change-point in a sequence of independent random variables. It is based on a least squares process endowed with a weight function. For finite sample sizes we derive bounds of the error probability. They immediately yield rates of consistency which are known to be optimal. Our findings extend and sharpen earlier results of Antoch, Hušková and Veraverbeke (Journal of Nonparametric Statistics 5: 123-144, 1995).

Date: 2005
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DOI: 10.1515/EQC.2005.255

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