Multiple Change Points Problem - Nonparametric Procedures for Estimation of the Points of Change

Edna Schechtman

doi:10.1080/03610918508812460

Multiple Change Points Problem - Nonparametric Procedures for Estimation of the Points of Change

Edna Schechtman

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

In this paper we consider several procedures for estimating the sites of multiple changepoints in the distribution of a sequence of independent, continuous observations. Each of these estimation schemes is based on the statistic proposed by Schechtman (1982) for testing hypotheses about a single change-point, in conjunction with a variety of techniques for detecting local maxima in a sequence of data. The results of an extensive Monte Carlo investigation are presented and used to provide guidelines for selecting a particular estimation procedure for a specific application.

Original language	English
Pages (from-to)	615-631
Number of pages	17
Journal	Communications in Statistics Part B: Simulation and Computation
Volume	14
Issue number	3
DOIs	https://doi.org/10.1080/03610918508812460
State	Published - 1 Jan 1985
Externally published	Yes

Keywords

Monte carlo study
local maxima
multiple changepoints problem
nonparametric estimation

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation

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10.1080/03610918508812460

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abstract = "In this paper we consider several procedures for estimating the sites of multiple changepoints in the distribution of a sequence of independent, continuous observations. Each of these estimation schemes is based on the statistic proposed by Schechtman (1982) for testing hypotheses about a single change-point, in conjunction with a variety of techniques for detecting local maxima in a sequence of data. The results of an extensive Monte Carlo investigation are presented and used to provide guidelines for selecting a particular estimation procedure for a specific application.",

keywords = "Monte carlo study, local maxima, multiple changepoints problem, nonparametric estimation",

author = "Edna Schechtman",

note = "Funding Information: The authors wish to thank Stewart Moss for his assistance with the Monte Carlo simulation portion of this work. They also wish to thank an anonymous referee for many helpful suggestions that led to a marked improvement in this paper. Part of this research was conducted while the first author was a Visiting Assistant Professor a t Ohio State University. The work of the second author was partially supported by ONR contract NO. N00014-84-K-0422.",

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Multiple Change Points Problem - Nonparametric Procedures for Estimation of the Points of Change

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Keywords

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