CONVERGENCE OF CHANGEPOINT ESTIMATORS

被引：20

作者：

FERGER, D ^{[1
]}

STUTE, W ^{[1
]}

机构：

[1] UNIV GIESSEN,INST MATH,ARNDSTR 2,W-6300 GIESSEN,GERMANY

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1992年 / 42卷 / 02期

关键词：

CHANGEPOINT ESTIMATOR; EXPONENTIAL TAIL BOUND; ALMOST SURE CONVERGENCE;

D O I：

10.1016/0304-4149(92)90045-R

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let X1n,...,X(n)n be an array of independent random vectors such that X1n,...,X[n-theta]n have distribution function F, and X[n-theta]+1n,...,X(n)n have distribution function G with F not-equal G. In this paper we propose an estimator theta(n) of the changepoint theta and show that n(theta(n) - theta) = O(ln n) with probability one.

引用

页码：345 / 351

页数：7

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