Estimating the number of change-points via Schwarz' criterion
β Scribed by Yi-Ching Yao
- Publisher
- Elsevier Science
- Year
- 1988
- Tongue
- English
- Weight
- 332 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0167-7152
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π SIMILAR VOLUMES
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 satisΓΏes a certain weak invariance principle (examples included are partial sums, renewal processes, and linea
Contents. 1. Introduction. 2. The results. 3. Some facts about Morse theory. 4. Proof of the main results. 4.1 Proof of Theorem 2.3. 4.2. Proof of Theorem 2.4. where M is a constant which will be computed explicitly.
Consider a sequence of independent random variables XI ..... X, having continuous distribution function F for 1 ~< i ~< m (<n) and a different continuous distribution function G for m <i ~< n, where m is unknown and called the change-point. We propose two classes of estimators of the change-point m