Change point detection based on method of moment estimators

10/07/2020

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by   Ilia Negri, et al.

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A change point detection procedure using the method of moment estimators is proposed. The test statistics is based on a suitable Z-process. The asymptotic behavior of this process is established under both the null and the alternative hypothesis and the consistency of the test is also proved. An estimator for the change point is proposed and its consistency is derived. Some examples of this method applied to a parametric family of random variables are presented.