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June 2020 Segmentation and estimation of change-point models: False positive control and confidence regions
Xiao Fang, Jian Li, David Siegmund
Ann. Statist. 48(3): 1615-1647 (June 2020). DOI: 10.1214/19-AOS1861

Abstract

To segment a sequence of independent random variables at an unknown number of change-points, we introduce new procedures that are based on thresholding the likelihood ratio statistic, and give approximations for the probability of a false positive error when there are no change-points. We also study confidence regions based on the likelihood ratio statistic for the change-points and joint confidence regions for the change-points and the parameter values. Applications to segment array CGH data are discussed.

Citation

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Xiao Fang. Jian Li. David Siegmund. "Segmentation and estimation of change-point models: False positive control and confidence regions." Ann. Statist. 48 (3) 1615 - 1647, June 2020. https://doi.org/10.1214/19-AOS1861

Information

Received: 1 March 2018; Revised: 1 February 2019; Published: June 2020
First available in Project Euclid: 17 July 2020

zbMATH: 07241605
MathSciNet: MR4124337
Digital Object Identifier: 10.1214/19-AOS1861

Subjects:
Primary: 62G05, 62G15

Rights: Copyright © 2020 Institute of Mathematical Statistics

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Vol.48 • No. 3 • June 2020
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