Estimating the number of change points in a sequence of independent normal random variables with unequal means or variances
碩士 === 國立中興大學 === 應用數學系 === 84 === A simple method is proposed to detect the number of change points in a sequence of independent normal random variables. An estimator to maximize some criterion, saySC(k), which is to maximize the l...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1996
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49759045242329099926 |
| Summary: | 碩士 === 國立中興大學 === 應用數學系 === 84 === A simple method is proposed to detect the number of
change points in a sequence of independent normal random
variables. An estimator to maximize some criterion, saySC(k),
which is to maximize the log likelihood function withsome
penalty term is used in detection. Under some mild
assumptions, the consistency of the estimator for the true
number of change points and the boundedness between the
estimated change locations and the true change locations are
obtained.
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