| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153119 | Statistics & Probability Letters | 2009 | 7 Pages |
Abstract
In this paper, we propose an efficient algorithm to remedy the drawbacks in the implementations of some renowned CUSUM-type estimations. The new approach not only reduces the computational time dramatically but also gives a much simpler proof of the consistency of the estimator of a change-point. The simulation study is conducted to illustrate the computational power of the proposed algorithm.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Tsung-Lin Cheng,