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has been cited by the following article:

• TITLE: Consistency of the φ-Divergence Based Change Point Estimator

  AUTHORS: Mwelu Susan, Anthony G. Waititu, Peter N. Mwita, Charity Wamwea

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

  JOURNAL NAME: Open Journal of Statistics, Vol.10 No.5, October 27, 2020

  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.