Change-point detection for continuous processes with high-frequency sampling |
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| Institution: | 1. School of Mathematics and Statistics, Wuhan University, Hubei, 430072, People''s Republic of China;2. Laboratoire de statistique et processus, département de mathématiques, université du Maine, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France;3. Department of Mathematics, City University of Hong Kong, 83, Tat Chee Avenue, Kowloon, Hong Kong |
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| Abstract: | We consider the detection of a jump in a continuous process over a fixed time interval. We aim to locate the jump position via discrete observations and consider how increasing the frequency of the observations affects the accuracy of the detection process. We show that the classical cumulative-sum estimator fails, and propose a new estimator based on local information that we prove converges exponentially fast. To cite this article: G. Wang et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008). |
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