ESTIMATION OF CHANGE-POINT MODELS

We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields with trend, which then help us to give the asymptotic p-value approximations of the likelihood ratio statistics from change-point models.
1. Introduction Change-point problems appear to have arisen originally in problems of quality control, where one observes the output of a production process sequentially and wants to signal any departure [...]