An estimator of the number of change points based on a weak invariance principle
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Publication:5933615
DOI10.1016/S0167-7152(00)00155-3zbMath0979.62065WikidataQ126803029 ScholiaQ126803029MaRDI QIDQ5933615
Publication date: 18 February 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
invariance principlechange pointschange in meanlinear processespartial sumsrenewal processesSchwarz criterion
Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Functional limit theorems; invariance principles (60F17)
Related Items (7)
On consistency of minimum description length model selection for piecewise autoregressions ⋮ Moving Sum Data Segmentation for Stochastic Processes Based on Invariance ⋮ Estimating nonlinear regression with and without change-points by the LAD method ⋮ Non-monotonic penalizing for the number of structural breaks ⋮ Two-stage data segmentation permitting multiscale change points, heavy tails and dependence ⋮ Rejoinder on: ``Extensions of some classical methods in change point analysis ⋮ Structural breaks in time series
Cites Work
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- Estimating the number of change points in a sequence of independent normal random variables
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- Testing for changes in the mean or variance of a stochastic process under weak invariance
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