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arXiv · 2010.12449

A Data-driven Change-point Estimator

Stefanie Schwaar
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Abstract

The q-weighted CUSUM and their corresponding estimator are well known statistics for change-point detection and estimation. They have the difficulty that the performance is highly dependent on the location of the change. An adaptive estimator with data-driven weights is presented to overcome this problem, and it is shown that the corresponding adaptive change-point tests are valid.

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Stefanie Schwaar. 2020-10-23. A Data-driven Change-point Estimator. https://arxiv.org/abs/2010.12449

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