Use Of Cumulative Sums For Detection Of Changepoints In The Rate Parameter Of A Poisson Process
AbstractThis paper studies the problem of multiple changepoints in rate parameter of a Poisson process. We propose a binary segmentation algorithm in conjunction with a cumulative sums statistic for detection of changepoints such that in each step we need only to test the presence of a simple changepoint. We derive the asymptotic distribution of the proposed statistic, prove its consistency and obtain the limiting distribution of the estimate of the changepoint. A Monte Carlo analysis shows the good performance of the proposed procedure, which is illustrated with a real data example.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws046816.
Date of creation: Dec 2004
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"Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity,"
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