Properties of two max-type estimators of a single change point are studied. It is shown that their asymptotic distributions that depend on a true value of the change point are distributions of arguments of minima of random processes presented in the paper. While a rate of convergence of these estimators to their limit distributions is worse than a rate of convergence of a CUSUM estimator, they may have smaller mean square errors when a number of observations is moderately small.

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Behavior of Pešta-Wendler Estimate of Change Point

  • Daniela Jarušková

摘要

Properties of two max-type estimators of a single change point are studied. It is shown that their asymptotic distributions that depend on a true value of the change point are distributions of arguments of minima of random processes presented in the paper. While a rate of convergence of these estimators to their limit distributions is worse than a rate of convergence of a CUSUM estimator, they may have smaller mean square errors when a number of observations is moderately small.