Estimating the locations and number of change points by the sample-splitting method

DOI10.1007/s003620000040zbMath0964.62080OpenAlexW2051479415MaRDI QIDQ5928227

Terence Tai-Leung Chong

Publication date: 19 July 2001

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s003620000040

zbMATH Keywords

Bessel processBrownian motionchange-point estimatormultiple structural changes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sequential statistical design (62L05) Sequential statistical analysis (62L10)

Related Items (7)

A note on regression kink model ⋮ Non identification of structural change in non stationary AR(1) models ⋮ Cumulative sum estimator for change-point in panel data ⋮ Convergence in distribution of multiple change point estimators ⋮ Generic consistency of the break-point estimators under specification errors in a multiple-break model ⋮ An ANOVA-type test for multiple change points ⋮ Generic consistency of the break‐point estimator under specification errors

Cites Work

• Finding multiple abrupt change points
• On asymptotic distribution theory in segmented regression problems - identified case
• Kernel-type estimators of jump points and values of a regression function
• Partial parameter consistency in a misspecified structural change model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Locating a changed segment in a sequence of Bernoulli variables
• Maximum likelihood estimation of multiple change points
• Testing for the number of change points in a sequence of exponential random variables
• Multiple changepoints problem-nonparmetric procedures for estimation of the points of change
• A Nonparametric Method of Estimating Intervals of Homogeneity for a Random Sequence
• Crossing probabilities for a square root boundary by a bessel process
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• CONTINUOUS INSPECTION SCHEMES
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