A0304
Title: Optimal estimation of change-point in time series
Authors: Chun Yip Yau - Chinese University of Hong Kong (Hong Kong) [presenting]
Abstract: Asymptotic theory is established for optimal estimation of change-points in time series. We show that the Bayes estimator is asymptotically efficient for change-point estimation under mean-squared error loss. Three subsampling procedures are developed to construct confidence intervals for the change-points. Simulations and real data applications are presented to investigate the finite sample performance of the Bayes estimator and the three subsampling procedures.
