THE LENGTH OF THE INTERVAL OF INDETERMINACY FOR THE ESTIMATE OF MULTIPLE CHANGE-POINTS

GRIGORIJ SHURENKOV

Theory of Stochastic Processes Vol.13 (29), no.1-2, 2007, pp.251-266

This article considers the problem of estimating the length of the interval of indeterminacy during construction of change-points' estimates using dynamical programming. It was proved that mathematical expectation of the length of the interval has asymptotically linear dependency on the penalty for a change of distribution when the number of estimations tends to infinity.
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