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Consistency of the φ-Divergence Based Change Point Estimator

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Document pages: 18 pages

Abstract: This paper utilizes a change-point estimator basedon the φ-divergence. Since we seek a near perfect translationto reality, then locations of parameter change within a finite set of data haveto be accounted for since the assumption of stationary model is too restrictive especially for long time series. The estimator isshown to be consistent through asymptotic theory and finally proven throughsimulations. The estimator is applied to the generalized Pareto distribution toestimate changes in the scale and shape parameters.

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