Advances and Applications in Statistics
Volume 4, Issue 2, Pages 139 - 153
(August 2004)
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APPLICATION OF PRELIMINARY TEST AND SHRINKAGE ESTIMATION IN CHANGE POINT ANALYSIS
Sana S. Buhamra (Kuwait)
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Abstract: The problem
of estimating the change point based on the
principle of shrinkage estimation is
considered. We propose a class of estimators
of the change point in a sequence of
independent continuous random variables with a
possible change in location. The proposed
estimators are compared with the usual
estimators for a location shift via Monte
Carlo simulation. The comparison is performed
in terms of three criteria: the mean square
error, the modified Pitman nearness, and the
probability concentration. |
Keywords and phrases: change point, Monte Carlo, preliminary test, shrinkage, test statistic. |
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