Change-point model selection via AIC

DOI10.1007/S10463-014-0481-XMaRDI QIDQ498057zbMATHOpenAlexFDO

Authors Yoshiyuki Ninomiya

Publication date 25 September 2015

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-014-0481-x

zbMATH Keywords

random walkBrownian motionfunctional central limit theoreminformation criterionstructural changeirregularity

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to biology and medical sciences; meta analysis (62P10) Non-Markovian processes: hypothesis testing (62M07)

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• Information criterion and change point problem for regular models
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Cites work

• scientific article; zbMATH DE number 3766903 (Why is no real title available?)
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Cited in

(10)

• Information criterion and change point problem for regular models
• scientific article; zbMATH DE number 7387535 (Why is no real title available?)
• scientific article; zbMATH DE number 7660133 (Why is no real title available?)
• New penalty in information criteria for the ARCH sequence with structural changes
• Information criterion of seriously over-fitting change-point models
• Information criteria for detecting change-points in the Cox proportional hazards model
• Detecting abrupt changes in the spectra of high-energy astrophysical sources
• Information criterion for Gaussian change-point model
• Parameter change tests for ARMA-GARCH models
• Data-driven choice of a model selection method in joinpoint regression

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