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14 June 2023 A study on the change-point of the mean of panel data based on the two-parameter CUSUM estimator
Hao Chen, Rong Ke
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Proceedings Volume 12725, International Conference on Pure, Applied, and Computational Mathematics (PACM 2023); 127250T (2023) https://doi.org/10.1117/12.2679223
Event: International Conference on Pure, Applied, and Computational Mathematics (PACM 2023), 2023, Suzhou, China
Abstract
In this paper, a CUSUM (Cumulative Sum) statistic containing two parameters is firstly proposed to estimate the location of the mean change-point, and the collinearity of the estimated quantity is proved. Secondly, the numerical simulation study presents satisfied result for the estimation of the mean change-point. Finally, by comparing with the other statistics, it is found that the two-parameter CUSUM statistic is more stable and the estimation of the mean change-point using this statistic is more accurate.
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Hao Chen and Rong Ke "A study on the change-point of the mean of panel data based on the two-parameter CUSUM estimator", Proc. SPIE 12725, International Conference on Pure, Applied, and Computational Mathematics (PACM 2023), 127250T (14 June 2023); https://doi.org/10.1117/12.2679223
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KEYWORDS
Statistical analysis
Data modeling
Numerical simulations
Simulations
Statistical modeling
Data analysis
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