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Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGaleano, Pedroes
dc.date.accessioned2006-11-09T10:56:56Z
dc.date.available2006-11-09T10:56:56Z
dc.date.issued2004-12es
dc.description.abstractThis paper studies the problem of multiple changepoints in rate parameter of a Poisson process. We propose a binary segmentation algorithm in conjunction with a cumulative sums statistic for detection of changepoints such that in each step we need only to test the presence of a simple changepoint. We derive the asymptotic distribution of the proposed statistic, prove its consistency and obtain the limiting distribution of the estimate of the changepoint. A Monte Carlo analysis shows the good performance of the proposed procedure, which is illustrated with a real data example.es
dc.format.extent523755 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecws046816
dc.identifier.urihttps://hdl.handle.net/10016/219
dc.language.isoenges
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometricses
dc.relation.ispartofseries2004-16es
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.titleUse of cumulative sums for detection of changepoints in the rate parameter of a poisson processes
dc.typeworking paper*
dspace.entity.typePublication
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