Change-point analysis using logarithmic quantile estimation

We present a new approach for estimating quantiles for change-point problems, specifically for Pettitt’s rank test (1979). We use the logarithmic quantile estimation procedure introduced by Thangavelu (2005), which is based on the concept of the almost sure limit theorem. Numerical results for small data sets and simulated data are given.
Source: Statistics and Probability Letters - Category: Statistics Source Type: research
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