Open Access
August 1998 Minimax estimation of sharp change points
Marc Raimondo
Ann. Statist. 26(4): 1379-1397 (August 1998). DOI: 10.1214/aos/1024691247

Abstract

We define the sharp change point problem as an extension of earlier problems in change point analysis related to nonparametric regression. As particular cases, these include estimation of jump points in smooth curves. More generally, we give a systematic treatment of the correct rate of convergence for estimating the position of a “cusp”of an arbitrary order. We propose a test function for the local regularity of a signal that characterizes such a point as a global maximum. In the sample implementation of our method, from observations of the signal at discrete time positions $i/n, i =1 \ldots,n$, we use a wavelet transformation to approximate the position of the change point in the no-noise case. We study the noise effect, in the worst case scenario over a wide class of functions having a unique irregularity of “order $\alpha$” and propose a sequence of estimators which converge at the rate $n_{-1/(1+2\alpha)}$, as $n$ tends to infinity. Finally we analyze the likelihood ration of the problem and show that this is actually the minimaz rate of convertence. Examples of thresholding empirical wavelet coefficients to estimate the position of sharp change points are also presented.

Citation

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Marc Raimondo. "Minimax estimation of sharp change points." Ann. Statist. 26 (4) 1379 - 1397, August 1998. https://doi.org/10.1214/aos/1024691247

Information

Published: August 1998
First available in Project Euclid: 21 June 2002

zbMATH: 0929.62039
MathSciNet: MR1647673
Digital Object Identifier: 10.1214/aos/1024691247

Subjects:
Primary: 62G05 , 62G20

Keywords: change point , cusp , jump , minimax estimation , Nonparametric regression , Wavelets

Rights: Copyright © 1998 Institute of Mathematical Statistics

Vol.26 • No. 4 • August 1998
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