MONTE CARLO ANALYSIS OF CHANGE POINT ESTIMATORS
Journal Title: Journal of Applied Quantitative Methods - Year 2010, Vol 5, Issue 4
Abstract
We consider several estimators for the change point in a sequence of independent observations. These are defined as the maximizing points of usually used statistics for nonparametric change point detection problems. Our investigations focus on the non asymptotic behaviour of the proposed estimators for sample sizes commonly observed in practice. We conducted a broad Monte Carlo study to compare these change point estimators, also investigating their properties and potential practical applications.
Authors and Affiliations
Gregory GUREVICH, Bar RAZ
Keywords
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