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Asymptotic behavior of median estimators of multiple change points

Author(s): G. Shurenkov
Translated by: V. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 70 (2004).
Journal: Theor. Probability and Math. Statist. No. 70 (2005), 167-176.
MSC (2000): Primary 62G20; Secondary 94A13
Posted: August 12, 2005
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Abstract: We consider the problem of posterior estimation of multiple change points in the case of only two distributions. We find the asymptotic distribution of the difference between the median estimator of a single change point and the true change point and show that the distribution does not change if the unknown parameter is estimated by a median of the sample. We generalize the results to the case of multiple change points.

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Additional Information:

G. Shurenkov
Affiliation: Department of Probability Theory and Mathematical Statistics, Mechanics and Mathematics Faculty, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email: skorohod@i.com.ua

DOI: 10.1090/S0094-9000-05-00640-X
PII: S 0094-9000(05)00640-X
Keywords: Estimation of change points, limit distribution, dynamic programming algorithm, sampling median
Received by editor(s): 14/MAR/2003
Posted: August 12, 2005
Copyright of article: Copyright 2005, American Mathematical Society

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