Abstract
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.
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Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 23, No. 1, pp. 51–73, 2020.
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Bai, L. Estimation of Change-Point Models. J Math Sci 262, 425–441 (2022). https://doi.org/10.1007/s10958-022-05825-9
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DOI: https://doi.org/10.1007/s10958-022-05825-9