کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146831 957532 2006 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Application of modified information criterion to multiple change point problems
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Application of modified information criterion to multiple change point problems
چکیده انگلیسی

The modified information criterion (MIC) is applied to detect multiple change points in a sequence of independent random variables. We find that the method is consistent in selecting the correct model, and the resulting test statistic has a simple limiting distribution. We show that the estimators for locations of change points achieve the best convergence rate, and their limiting distribution can be expressed as a function of a random walk. A simulation is conducted to demonstrate the usefulness of this method by comparing the powers between the MIC and the Schwarz information criterion.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 97, Issue 10, November 2006, Pages 2221-2241