Behavior of Pešta-Wendler Estimate of Change Point

Daniela Jarušková ()
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Daniela Jarušková: Czech Technical University, Department of Mathematics, Faculty of Civil Engineering

Chapter Chapter 5 in Asymptotic and Methodological Statistics, 2026, pp 83-95 from Springer

Abstract: Abstract Properties of two max-type estimators of a single change point are studied. It is shown that their asymptotic distributions that depend on a true value of the change point are distributions of arguments of minima of random processes presented in the paper. While a rate of convergence of these estimators to their limit distributions is worse than a rate of convergence of a CUSUM estimator, they may have smaller mean square errors when a number of observations is moderately small.

Date: 2026
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DOI: 10.1007/978-3-032-07178-1_5

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