Segmentation and estimation of change-point models: False positive control and confidence regions
Xiao Fang, Jian Li, David Siegmund
The Annals of Statistics · 2020 · Volume 48 · Issue 3
Abstract
To segment a sequence of independent random variables at an unknown number of change-points, we introduce new procedures that are based on thresholding the likelihood ratio statistic, and give approximations for the probability of a false positive error when there are no change-points. We also study confidence regions based on the likelihood ratio statistic for the change-points and joint confidence regions for the change-points and the parameter values. Applications to segment array CGH data are discussed.
Keywords
62G05, 62G15, Array CGH analysis, Change-points, Confidence regions, exponential families, likelihood ratio statistics
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