Change point test for tail index for dependent data

Metrika ◽  
2010 ◽  
Vol 74 (3) ◽  
pp. 297-311 ◽  
Author(s):  
Moosup Kim ◽  
Sangyeol Lee
Keyword(s):  
Change Point ◽  
Tail Index ◽  
Dependent Data ◽  
Change Point Test ◽  
Point Test

Change point test for tail index of scale-shifted processes

2014 ◽  
Vol 31 (3-4) ◽  
Author(s):  
Moosup Kim ◽  
Sangyeol Lee
Keyword(s):  
Change Point ◽  
Real Data ◽  
Tail Index ◽  
Hill Estimator ◽  
Point Estimate ◽  
Change Point Test ◽  
Point Test ◽  
Before And After ◽  
Hill Estimators ◽  
The Hill

AbstractIn this paper, we study the change point test for the tail index of scale-shifted processes. To this task, we propose two tests. The first is designed via examining the discrepancy between the two Hill estimators obtained from the observations before and after a preliminary change point estimate. The second is a modified recursive test which uses scale-adjusted observations. Both methods produce a tail index estimator that outperforms the Hill estimator. A simulation study and real data analysis are provided for illustration.

Can pitcher performance reveal game fixing in baseball? Developing a forensic analysis detection procedure

2018 ◽  
Vol 46 (2) ◽  
pp. 259-271
Author(s):  
Shun-Chuan Chang
Keyword(s):  
Behavior Analysis ◽  
Applied Behavior Analysis ◽  
Change Point ◽  
Textual Analysis ◽  
Forensic Analysis ◽  
Professional Baseball ◽  
Difference In Differences ◽  
Change Point Test ◽  
Sports Ethics ◽  
Point Test

Gambling and game-fixing scandals have loomed over the international baseball world and a lack of sports ethics in baseball may lead to many problems. In this study I conducted a textual analysis of reports by prosecutors regarding a pitcher who was investigated but not indicted in 2009 after allegations of game fixing. Drawing upon the statistical records of the season's games for the pitcher that were contained in the prosecutor's reports and game-by-game records for each Chinese Professional Baseball League pitcher in the 2009 regular season, I used the change-point test and difference-in-differences techniques to identify anomalies in the pitcher's play. The results I obtained support information contained in the prosecutors' reports regarding the pitcher's actions. My model is confirmed as an appropriate method of applied behavior analysis for detecting corruption in baseball pitching performance.

scholarly journals Consistent and powerful graph-based change-point test for high-dimensional data

2017 ◽  
Vol 114 (15) ◽  
pp. 3873-3878 ◽  
Author(s):  
Xiaoping Shi ◽  
Yuehua Wu ◽  
Calyampudi Radhakrishna Rao
Keyword(s):  
Change Point ◽  
Hamiltonian Path ◽  
Point Estimation ◽  
Change Point Detection ◽  
High Dimensional ◽  
Simulation Studies ◽  
Change Point Estimation ◽  
Change Point Test ◽  
Point Test ◽  
Point Detection

A change-point detection is proposed by using a Bayesian-type statistic based on the shortest Hamiltonian path, and the change-point is estimated by using ratio cut. A permutation procedure is applied to approximate the significance of Bayesian-type statistics. The change-point test is proven to be consistent, and an error probability in change-point estimation is provided. The test is very powerful against alternatives with a shift in variance and is accurate in change-point estimation, as shown in simulation studies. Its applicability in tracking cell division is illustrated.

scholarly journals A New Class of Change Point Test Statistics of Rényi Type

2019 ◽  
Vol 38 (3) ◽  
pp. 570-579 ◽  
Author(s):  
Lajos Horváth ◽  
Curtis Miller ◽  
Gregory Rice
Keyword(s):  
Change Point ◽  
Test Statistics ◽  
New Class ◽  
Change Point Test ◽  
Point Test

scholarly journals Consistent and powerful non-Euclidean graph-based change-point test with applications to segmenting random interfered video data

2018 ◽  
Vol 115 (23) ◽  
pp. 5914-5919 ◽  
Author(s):  
Xiaoping Shi ◽  
Yuehua Wu ◽  
Calyampudi Radhakrishna Rao
Keyword(s):  
Change Point ◽  
Spanning Tree ◽  
Minimum Spanning Tree ◽  
Hamiltonian Path ◽  
Video Data ◽  
Change Point Detection ◽  
Change Point Test ◽  
Point Test ◽  
Point Detection

The change-point detection has been carried out in terms of the Euclidean minimum spanning tree (MST) and shortest Hamiltonian path (SHP), with successful applications in the determination of authorship of a classic novel, the detection of change in a network over time, the detection of cell divisions, etc. However, these Euclidean graph-based tests may fail if a dataset contains random interferences. To solve this problem, we present a powerful non-Euclidean SHP-based test, which is consistent and distribution-free. The simulation shows that the test is more powerful than both Euclidean MST- and SHP-based tests and the non-Euclidean MST-based test. Its applicability in detecting both landing and departure times in video data of bees’ flower visits is illustrated.

scholarly journals The Power of Change-Point Test for Two-Phase Regression

2014 ◽  
Vol 05 (19) ◽  
pp. 2994-3000
Author(s):  
To Van Ban ◽  
Nguyen Thi Quyen
Keyword(s):  
Change Point ◽  
Two Phase ◽  
Change Point Test ◽  
Point Test
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