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 |
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Pages (from-to) | 559-565 |
Number of pages | 7 |
Journal | Statistics and Probability Letters |
Volume | 79 |
Issue number | 5 |
DOIs | |
Publication status | Published - 2009 Mar 1 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty