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The length of the interval of indeterminacy for the estimate of multiple change-points
Grigorij Shurenkov Department of Probability Theory and Mathematical Statistics,
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Аннотация:
This article considers the problem of estimating the length of the interval of indeterminacy during construction of change-points' estimates using dynamical programming. It was proved that mathematical expectation of the length of the interval has asymptotically linear dependency on the penalty for a change of distribution when the number of estimations tends to infinity.
Ключевые слова:
Change-points, dynamical programming.
Образец цитирования:
Grigorij Shurenkov, “The length of the interval of indeterminacy for the estimate of multiple change-points”, Theory Stoch. Process., 13(29):2 (2007), 251–266
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp202 https://www.mathnet.ru/rus/thsp/v13/i2/p251
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Страница аннотации: | 63 | PDF полного текста: | 25 | Список литературы: | 17 |
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