CONVERGENCE OF CHANGEPOINT ESTIMATORS

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:42

Article

FERGER, D ; STUTE, W

关键词: CHANGEPOINT ESTIMATOR;    EXPONENTIAL TAIL BOUND;    ALMOST SURE CONVERGENCE;   

DOI  :  10.1016/0304-4149(92)90045-R

来源: Elsevier

【 摘 要 】

Let X1n,...,X(n)n be an array of independent random vectors such that X1n,...,X[n-theta]n have distribution function F, and X[n-theta]+1n,...,X(n)n have distribution function G with F not-equal G. In this paper we propose an estimator theta(n) of the changepoint theta and show that n(theta(n) - theta) = O(ln n) with probability one.

【 授权许可】

Free