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Activity Number:
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412
- Theory and Methods for Change-Point and Abnormality Detection
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Type:
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Contributed
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Date/Time:
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Tuesday, July 31, 2018 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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Abstract #330752
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Presentation
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Title:
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Change-Point Analysis Using Logarithmic Quantile Estimation
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Author(s):
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Lucia Tabacu* and Mark Ledbetter
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Companies:
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Old Dominion University and Old Dominion University
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Keywords:
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logarithmic quantile estimation;
change-point rank test ;
almost sure limit theorem ;
Pettitt test
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Abstract:
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We study the logarithmic quantile estimation procedure in the context of change-point problems. More precisely, we approximate the quantiles for the Pettitt rank test (Pettitt, 1979) using this method. The logarithmic quantile estimation is based on the almost sure limit theorem for a test statistic and estimates quantiles almost surely using only the data. We obtain simulation results for the significance level and power for the Pettitt rank test and also compare results for various small data sets.
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Authors who are presenting talks have a * after their name.
