Mathematics – Statistics Theory
Scientific paper
2009-08-13
Annals of Statistics 2009, Vol. 37, No. 4, 1752-1791
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.1214/08-AOS602 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Scientific paper
10.1214/08-AOS602
We consider the problem of locating a jump discontinuity (change-point) in a smooth parametric regression model with a bounded covariate. It is assumed that one can sample the covariate at different values and measure the corresponding responses. Budget constraints dictate that a total of $n$ such measurements can be obtained. A multistage adaptive procedure is proposed, where at each stage an estimate of the change point is obtained and new points are sampled from its appropriately chosen neighborhood. It is shown that such procedures accelerate the rate of convergence of the least squares estimate of the change-point. Further, the asymptotic distribution of the estimate is derived using empirical processes techniques. The latter result provides guidelines on how to choose the tuning parameters of the multistage procedure in practice. The improved efficiency of the procedure is demonstrated using real and synthetic data. This problem is primarily motivated by applications in engineering systems.
Banerjee Moulinath
Lan Yan
Michailidis George
No associations
LandOfFree
Change-point estimation under adaptive sampling does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Change-point estimation under adaptive sampling, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Change-point estimation under adaptive sampling will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-700315