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The length of the interval of indeterminacy for the estimate of multiple change-points
Репозиторій DSpace/Manakin
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The length of the interval of indeterminacy for the estimate of multiple change-points
Посилання:
The length of the interval of indeterminacy for the estimate of multiple change-points / G. Shurenkov // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 251-266. — Бібліогр.: 8 назв.— англ.
Дата:
2007
Переглядів:
988
Завантажень:
538
Анотація:
This article considers the problem of estimating the length of the interval of indeterminacy during construction of change-points' estimates using dynamical programming. It was proved that mathematical expectation of the length of the interval has asymptotically linear dependency on the penalty for a change of distribution when the number of estimations tends to infinity.
