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 - Simulation and Computation |
| Volume | 14 |
| Issue number | 3 |
| DOIs | |
| 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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