Consistency of the φ-Divergence Based Change Point Estimator - Open Journal of Statistics

OJS > Vol.10 No.5, October 2020

Open Journal of Statistics

Volume 10, Issue 5 (October 2020)

ISSN Print: 2161-718X ISSN Online: 2161-7198

Google-based Impact Factor: 0.53 Citations

Consistency of the φ-Divergence Based Change Point Estimator ()

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DOI: 10.4236/ojs.2020.105048 245 Downloads 780 Views

Author(s)

Mwelu Susan¹, Anthony G. Waititu², Peter N. Mwita³, Charity Wamwea²

Affiliation(s)

¹Pan-African University Institute of Basic Sciences, Technology and Innovation, Nairobi, Kenya.
²Department of Statistics and Actuarial Sciences, JKUAT, Nairobi, Kenya.
³Department of Mathematics, Statistics and Actuarial Sciences, Machakos University, Machakos, Kenya.

ABSTRACT

This paper utilizes a change-point estimator based on the φ-divergence. Since we seek a near perfect translation to reality, then locations of parameter change within a finite set of data have to be accounted for since the assumption of stationary model is too restrictive especially for long time series. The estimator is shown to be consistent through asymptotic theory and finally proven through simulations. The estimator is applied to the generalized Pareto distribution to estimate changes in the scale and shape parameters.

KEYWORDS

Change Point, Consistency, φ-Divergence, Kullback-Leibler, Generalized Pareto Distribution

Share and Cite:

Susan, M. , Waititu, A. , Mwita, P. and Wamwea, C. (2020) Consistency of the φ-Divergence Based Change Point Estimator. Open Journal of Statistics, 10, 832-849. doi: 10.4236/ojs.2020.105048.

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