Statistical inference of covariance change points in gaussian model

DOI10.1080/0233188032000158817zbMath1040.62046OpenAlexW1973770800MaRDI QIDQ4467683

Jie Chen, Arjun K. Gupta

Publication date: 10 June 2004

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0233188032000158817

zbMATH Keywords

information criterionchange-pointsSIC

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (5)

\(\phi\)-divergence based procedure for parametric change-point problems ⋮ A change-point problem and inference for segment signals ⋮ Detection of multiple change-points in multivariate time series ⋮ Hybrid regions for post-change mean in a sequence of normal variables ⋮ Sequential subspace change point detection

Cites Work

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• Further analysis of the data by Akaike's information criterion and the finite corrections
• Testing and Locating Variance Changepoints with Application to Stock Prices
• ON CHANGE POINT DETECTION AND ESTIMATION
• On a class of change-point models in covariance structures for growth curves and repeated measurements
• Likelihood procedure for testing change point hypothesis for multivariate Gaussian model

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