Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process
This 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.
|Date of creation:||Dec 2004|
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- Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2003.
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DES - Working Papers. Statistics and Econometrics. WS
ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
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- Tae Young Yang, 2004. "Bayesian binary segmentation procedure for detecting streakiness in sports," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 167(4), pages 627-637.
- Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June. Full references (including those not matched with items on IDEAS)
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