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Change-point Estimation based on Log Scores
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 Title & Authors
Change-point Estimation based on Log Scores
Kim, Jaehee; Seo, Hyunjoo;
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 Abstract
We consider the problem of estimating the change-point in mean change model with one change-point. Gombay and Huskova(1998) derived a class of change-point estimators with the score function of rank. A change-point estimator with the log score function of rank is suggested and is shown to be involved in the class of Gombay and Huskova(1988). The simulation results show that the proposed estimator has smaller rose, larger proportion of matching the true change-point than the other estimators considered in the experiment when the change-point occurs in the middle of the sample.
 Keywords
Change-point;Rank;Score function;Wiener process;
 Language
English
 Cited by
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