Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Nonparametric Change-point Estimation with Rank and Mean Functions in a Location Parameter Change Model

위치모수 변화 모형에서 순위함수와 평균함수를 이용한 비모수적 변화점 추정

  • 김재희 (덕성여자대학교 통계학과) ;
  • 이경원 (덕성여자대학교 통계학)
  • Published : 2000.10.31
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Abstract

This article suggests two change-point estimators which are modifications of Carlstein(1988) change-point estimators with rank functions and mean functions where there is one change-point in a mean function. A comparison study of Carlstein(1988) estimators and proposed estimators is done by simulation on the mean, the MSE, and the proportion of matching true change-point.

위치 모수에 대해 1개의 변화점이 있는 경우 Carlstein(1988)의 변화점 추정량을 순위함수와 평균함수를 이용하여 변형시킨 변화점 추정통계량을 제안하였다. 모의 실험을 통해 Carlstein(1988) 변화점 추정량과 제안하는 변화점 추정량의 평균, 평균제곱오차와 변화점 추정비율을 계산하여 비교하였다.

Keywords

References

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