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Approximate critical values 1 Asymptotic distribution 1 Dynamic programming principle 1 Extremes of Gaussian fields 1 Maximum type test statistic 1 Monte Carlo simulations 1 Segmentation 1 Testing for multiple change-points 1
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Antoch, Jaromír 1 Jarušková, Daniela 1
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Computational Statistics 1
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Testing for multiple change points
Antoch, Jaromír; Jarušková, Daniela - In: Computational Statistics 28 (2013) 5, pp. 2161-2183
In this paper we concentrate on testing for multiple changes in the mean of a series of independent random variables. Suggested method applies a maximum type test statistic. Our primary focus is on an effective calculation of critical values for very large sample sizes comprising (tens of)...
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