2021
DOI: 10.48550/arxiv.2106.12844
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Bootstrap confidence intervals for multiple change points based on moving sum procedures

Abstract: In this paper, we address the problem of quantifying uncertainty about the locations of multiple change points. We first establish the asymptotic distribution of the change point estimators obtained as the local maximisers of moving sum statistics, where the limit distributions differ depending on whether the corresponding size of changes is local, i.e. tends to zero as the sample size increases, or fixed. Then, we propose a bootstrap procedure for confidence interval generation which adapts to the unknown siz… Show more

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