Change-point analysis using logarithmic quantile estimation

Lucia Tabacu and Mark Ledbetter

Statistics & Probability Letters, 2019, vol. 150, issue C, 94-100

Abstract: We present a new approach for estimating quantiles for change-point problems, specifically for Pettitt’s rank test (1979). We use the logarithmic quantile estimation procedure introduced by Thangavelu (2005), which is based on the concept of the almost sure limit theorem. Numerical results for small data sets and simulated data are given.

Keywords: Pettitt rank test; Logarithmic quantile estimation; Almost sure limit theorem; Martingale; Permutation (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.02.014

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