Change-point model selection via AIC

DOI10.1007/S10463-014-0481-XzbMATH Open1440.62325OpenAlexW2141150587MaRDI QIDQ498057FDOQ498057

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

Recommendations

• Information criterion for Gaussian change-point model
• Information criterion and change point problem for regular models
• Information criterion of seriously over-fitting change-point models
• Simultaneous change point analysis and variable selection in a regression problem
• Developing a new BIC for detecting change-points

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)

Cites Work

• Estimating the dimension of a model
• Asymptotic Statistics
• Bayesian Measures of Model Complexity and Fit
• Title not available (Why is that?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Information and Sufficiency
• Break detection in the covariance structure of multivariate time series models
• Estimating the number of change-points via Schwarz' criterion
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Title not available (Why is that?)
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Estimating and Testing Linear Models with Multiple Structural Changes
• A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data
• The risk inflation criterion for multiple regression
• Model selection in irregular problems: Applications to mapping quantitative trait loci
• Title not available (Why is that?)
• On the ``degrees of freedom of the lasso
• The joint density of the maximum and its location for a Wiener process with drift
• The Focused Information Criterion
• The asymptotic behavior of some nonparametric change-point estimators
• The minimum of an additive process with applications to signal estimation and storage theory
• Information criterion for Gaussian change-point model
• The location of the maximum and asymmetric two-sided Brownian motion with triangular drift
• Testing for the number of change points in a sequence of exponential random variables
• Detecting a Changed Segment in DNA Sequences
• Statistical Method for Detecting Structural Change in the Growth Process

Cited In (10)

• Parameter change tests for ARMA-GARCH models
• Data-driven choice of a model selection method in joinpoint regression
• Title not available (Why is that?)
• Information criterion for Gaussian change-point model
• Title not available (Why is that?)
• Detecting abrupt changes in the spectra of high-energy astrophysical sources
• Information criterion and change point problem for regular models
• Information criterion of seriously over-fitting change-point models
• New penalty in information criteria for the ARCH sequence with structural changes
• Information criteria for detecting change-points in the Cox proportional hazards model

This page was built for publication: Change-point model selection via AIC

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q498057)