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Data-driven estimation of change-points with mean shift
Yang Wenzhi,Liu Huanshuo,Wang Yiwei,Wang Xuejun 한국통계학회 2023 Journal of the Korean Statistical Society Vol.52 No.1
Asymptotically linear negative quadrant dependent (ALNQD) sequence is more general than negatively associated (NA) sequence and \rho∗-mixing sequence. Based on ALNQD errors, the CUSUM estimator of mean change-point is studied with common conditions. We obtain a limiting distribution of CUSUM estimator, which can be used to judge the existence of mean change-point. Meanwhile, some weak and strong convergence rates are established for the CUSUM estimator of change-point. In addition, a data-driven algorithm of multiple change-point detection is given, which performs better than Lasso algorithm. Last, multiple change-point detection simulations and real data analysis illustrate the accuracy of our results.