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Description
  • In this paper we concentrate on testing for multiple changes in the mean of a series of independent random variables. Suggested method applies a maximum type test statistic. Our primary focus is on an effective calculation of critical values for very large sample sizes comprising (tens of) thousands of observations and a moderate to large number of segments. To that end, Monte Carlo simulations and a modified Bellman's principle of optimality are used. It is shown that, indisputably, computer memory becomes a critical bottleneck in solving a problem of such a size. Thus, minimization of the memory requirements and appropriate order of calculations appear to be the keys to success. In addition, the formula that can be used to get approximate asymptotic critical values using the theory of exceedance probability of Gaussian fields over a high level is presented.
  • In this paper we concentrate on testing for multiple changes in the mean of a series of independent random variables. Suggested method applies a maximum type test statistic. Our primary focus is on an effective calculation of critical values for very large sample sizes comprising (tens of) thousands of observations and a moderate to large number of segments. To that end, Monte Carlo simulations and a modified Bellman's principle of optimality are used. It is shown that, indisputably, computer memory becomes a critical bottleneck in solving a problem of such a size. Thus, minimization of the memory requirements and appropriate order of calculations appear to be the keys to success. In addition, the formula that can be used to get approximate asymptotic critical values using the theory of exceedance probability of Gaussian fields over a high level is presented. (en)
Title
  • Testing for multiple change points
  • Testing for multiple change points (en)
skos:prefLabel
  • Testing for multiple change points
  • Testing for multiple change points (en)
skos:notation
  • RIV/00216208:11320/13:10173918!RIV14-GA0-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA201/09/0755)
http://linked.open...iv/cisloPeriodika
  • 5
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 110608
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/13:10173918
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Extremes of Gaussian fields; Approximate critical values; Asymptotic distribution; Dynamic programming principle; Monte Carlo simulations; Maximum type test statistic; Segmentation; Testing for multiple change-points (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • DE - Spolková republika Německo
http://linked.open...ontrolniKodProRIV
  • [D729B10AB3EF]
http://linked.open...i/riv/nazevZdroje
  • Computational Statistics
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 28
http://linked.open...iv/tvurceVysledku
  • Jarušková, Daniela
  • Antoch, Jaromír
http://linked.open...ain/vavai/riv/wos
  • 000324813700013
issn
  • 0943-4062
number of pages
http://bibframe.org/vocab/doi
  • 10.1007/s00180-013-0401-1
http://localhost/t...ganizacniJednotka
  • 11320
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