Estimating the number of change-points via Schwarz' criterion (Q1101154): Difference between revisions
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Revision as of 20:15, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the number of change-points via Schwarz' criterion |
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Estimating the number of change-points via Schwarz' criterion (English)
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1988
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This short paper is a contribution to the problem of estimating the number of change-points. The model consists of independent, normally distributed observations with common variance but mean jumps at unknown times. For a fixed number of changes, all the parameters are classically estimated by the likelihood method; then, the estimated likelihood is penalized as in Schwarz's criterion [see \textit{G. Schwarz}, Ann. Stat. 6, 461-464 (1978; Zbl 0379.62005)] to give the estimated number of changes. In this context: normality and asymptotically well-separated change times, the estimator is proved to be consistent.
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weak consistency
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dimension of models
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estimating the number of change- points
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independent, normally distributed observations
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common variance
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likelihood method
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Schwarz's criterion
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