کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10525961 | 958399 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Information criterion for Gaussian change-point model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Information criterion for Gaussian change-point model Information criterion for Gaussian change-point model](/preview/png/10525961.png)
چکیده انگلیسی
AIC-type information criterion is generally estimated by the bias-corrected maximum log-likelihood. In regular models, the bias can be estimated by p, where p is the number of parameters. The present paper considers the AIC-type information criterion for change-point models which are not regular, the bias of which will not be the same as for regular models. The bias is shown to depend on the expected maximum of a random walk with negative drift. Furthermore, it is shown that by using an approximation to a Brownian motion, the evaluated bias is given by 3m+pm (not m+pm), where m is the number of change-points and pm is the number of regular parameters, which differs from regular models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 72, Issue 3, 1 May 2005, Pages 237-247
Journal: Statistics & Probability Letters - Volume 72, Issue 3, 1 May 2005, Pages 237-247
نویسندگان
Yoshiyuki Ninomiya,