An efficient algorithm for estimating a change-point

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4 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)559-565
Number of pages7
JournalStatistics and Probability Letters
Volume79
Issue number5
DOIs
Publication statusPublished - 2009 Mar 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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