An evaluation of change-point estimators for a sequence of normal observations with unknown parameters

作者：Garza Venegas Jorge; Tercero Gomez Victor^*; Cordero Franco Alvaro; Temblador Perez Maria; Beruvides Mario

来源：Communications in Statistics - Simulation and Computation, 2017, 46(6): 4297-4317.

DOI：10.1080/03610918.2015.1115524

• Bartlett's test
• CUSUM
• MLE
• Robustness
• Unknown parameters

Performance of maximum likelihood estimators (MLE) of the change-point in normal series is evaluated considering three scenarios where process parameters are assumed to be unknown. Different shifts, sample sizes, and locations of a change-point were tested. A comparison is made with estimators based on cumulative sums and Bartlett's test. Performance analysis done with extensive simulations for normally distributed series showed that the MLEs perform better (or equal) in almost every scenario, with smaller bias and standard error. In addition, robustness of MLE to non-normality is also studied.

• 出版日期2017