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Tytuł artykułu

Bayesian like R- and M- estimators of change points

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The purpose of this paper is to study Bayesian like R- and M-estimators of change point(s). These estimators have smaller variance than the related argmax type estimators. Confidence intervals for the change point based on the exchangeability arguments are constructed. Finally, theoretical results are illustrated on the real data set.
Twórcy
  • Department of Statistics, Charles University, Sokolovská 83, CZ - 186 75 Praha 8 - Karlín, Czech Republic
  • Department of Statistics, Charles University, Sokolovská 83, CZ - 186 75 Praha 8 - Karlín, Czech Republic
Bibliografia
  • [1] J. Antoch and M. Husková, Estimators of changes, Nonparametrics, Asymptotics and Time Series, Ghosh S. ed., M. Dekker, (1998a), 533-578.
  • [2] J. Antoch and M. Husková, Bayesian like estimators of changes, 1998b, J. Stat. Plan. Infer., submitted.
  • [3] J. Antoch and J.Á. Vísek, Robust estimation in linear model and its computational aspects, Computational Aspects of Model Choice, Physica Verlag, Heidelberg, Antoch J. ed., (1992), 39-104.
  • [4] G.W. Cobb, The problem of the Nile: Conditional solution to a change-point problem, Biometrika 65 (1978), 243-251.
  • [5] M. Csörgo and L. Horváth, Limit Theorems in Change-Point Analysis, J. Wiley, New York 1997.
  • [6] L. Dümbgen, The asymptotic behavior of some nonparametric change-point estimators, Ann. Statist. 19 (1991), 1471-1495.
  • [7] E. Gombay and M. Husková, Rank based estimators of the change-point, J. Stat. Plan. Infer. 67 (1997), 137-154.
  • [8] D. Hinkley and E. Schechtman, Conditional bootstrap methods in the mean-shift model, Biometrika 74 (1987), 85-93.
  • [9] P. J. Huber, Robust Statitics, J. Wiley, New York 1981.
  • [10] M. Husková, Limit theorems for rank statistics, Statist. and Probab. Letters 30 (1997a), 45-55.
  • [11] M. Husková, Limit theorems for M-processes via rank statistics processes, Advances in Combinatorial Methods with Applications to Probability and Statistics, Balakrishnan N. ed., (1997b), 527-533.
  • [12] M. Husková, Multivariate rank statistics processes and change-point analysis, Volume of Saleh, 1997c (to appear).
  • [13] I. A. Ibragimov and R. Z. Has'minskii, Statistical Estimation. Asymptotic Theory, Springer Verlag, Heidelberg 1981.
  • [14] Y. Ritov, Asymptotic efficient estimation of the change-point with unknown distribution, Ann. Statist. 18 (1990), 1829-1839.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1007
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