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arXiv · 1805.00239

Estimation of Change-point Models

Long Bai
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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.

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Long Bai. 2018-05-01. Estimation of Change-point Models. https://arxiv.org/abs/1805.00239

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