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An estimator of the number of change points based on a weak invariance principle

✍ Scribed by Christoph Kühn

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
103 KB
Volume
51
Category
Article
ISSN
0167-7152

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✦ Synopsis

We study an estimator of the number of change points in the drift of a stochastic process based on the Schwarz criterion. In a general statistical model where the additive measurement noise satisÿes a certain weak invariance principle (examples included are partial sums, renewal processes, and linear processes in time series analysis) consistency can be shown under the condition that the number of jumps is not greater than a given upper bound.

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