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Fundamentalnaya i Prikladnaya Matematika, 2020, Volume 23, Issue 1, Pages 51–73 (Mi fpm1866)  
Estimation of change-point models

L. Bai

University of Lausanne, Lausanne, Switzerland
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Abstract: We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields with trend, which then help us give asymptotic $p$-value approximations of the likelihood ratio statistics from change-point models.
Funding agency Grant number
Swiss National Science Foundation 200021-166274
Thanks to Swiss National Science Foundation Grant No. 200021-166274.
English version:
Journal of Mathematical Sciences (New York), 2022, Volume 262, Issue 4, Pages 425–441
DOI: https://doi.org/10.1007/s10958-022-05825-9
Document Type: Article
UDC: 519.218
Language: Russian
Citation: L. Bai, “Estimation of change-point models”, Fundam. Prikl. Mat., 23:1 (2020), 51–73; J. Math. Sci., 262:4 (2022), 425–441
Citation in format AMSBIB
\Bibitem{Bai20}
\by L.~Bai
\paper Estimation of change-point models
\jour Fundam. Prikl. Mat.
\yr 2020
\vol 23
\issue 1
\pages 51--73
\mathnet{http://mi.mathnet.ru/fpm1866}
\transl
\jour J. Math. Sci.
\yr 2022
\vol 262
\issue 4
\pages 425--441
\crossref{https://doi.org/10.1007/s10958-022-05825-9}
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