Estimation of change-point models

L. Bai

Fundamentalʹnaâ i prikladnaâ matematika, Tome 23 (2020) no. 1, pp. 51-73.

Résumé

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.

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