An efficient algorithm for estimating a change-point

Tsung-Lin Cheng

Statistics & Probability Letters, 2009, vol. 79, issue 5, 559-565

Abstract: In this paper, we propose an efficient algorithm to remedy the drawbacks in the implementations of some renowned CUSUM-type estimations. The new approach not only reduces the computational time dramatically but also gives a much simpler proof of the consistency of the estimator of a change-point. The simulation study is conducted to illustrate the computational power of the proposed algorithm.

Date: 2009
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