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arXiv 1809.01975math.STstat.TH
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分段信号的一个变点问题及其推断

A change-point problem and inference for segment signals

Victor-Emmanuel Brunel

摘要:

本文研究了一系列随机变量均值中一个或两个变点的检测和估计问题。我们在回归中使用集合估计的形式主义:对设计的每个点附加一个二进制标签,指示该点是否属于未知段,并且该标签被噪声污染。未知线段的端点是变点。我们研究了允许在不同情况下进行统计检测的段的最小尺寸,包括当端点与设计域的边界分离时,或者当它们彼此分离时。我们比较这个最小的大小与极小极大收敛率估计的段在相同的情况下。这个广泛的研究的一个简单而又基本的版本的变点问题的目的是双重的:了解的位置和分离的变化点的影响,检测和估计,并带来的见解估计和检测的凸体在更高的维度。

英文摘要:

We address the problem of detection and estimation of one or two change-points in the mean of a series of random variables. We use the formalism of set estimation in regression: To each point of a design is attached a binary label that indicates whether that point belongs to an unknown segment and this label is contaminated with noise. The endpoints of the unknown segment are the change-points. We study the minimal size of the segment which allows statistical detection in different scenarios, including when the endpoints are separated from the boundary of the domain of the design, or when they are separated from one another. We compare this minimal size with the minimax rates of convergence for estimation of the segment under the same scenarios. The aim of this extensive study of a simple yet fundamental version of the change-point problem is twofold: Understanding the impact of the location and the separation of the change points on detection and estimation and bringing insights about the estimation and detection of convex bodies in higher dimensions.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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