An efficient algorithm for estimating a change-point

Tsung Lin Cheng

doi:10.1016/j.spl.2008.09.031

An efficient algorithm for estimating a change-point

Tsung Lin Cheng

Graduate Institute of Statistics and Information Science

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	559-565
Number of pages	7
Journal	Statistics and Probability Letters
Volume	79
Issue number	5
DOIs	https://doi.org/10.1016/j.spl.2008.09.031
Publication status	Published - 2009 Mar 1

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All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Cite this

Cheng, T. L. (2009). An efficient algorithm for estimating a change-point. Statistics and Probability Letters, 79(5), 559-565. https://doi.org/10.1016/j.spl.2008.09.031

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Access to Document

10.1016/j.spl.2008.09.031