An estimator of the number of change points based on a weak invariance principle

DOI10.1016/S0167-7152(00)00155-3zbMath0979.62065WikidataQ126803029 ScholiaQ126803029MaRDI QIDQ5933615

Christoph Kühn

Publication date: 18 February 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

invariance principle; change points; change in mean; linear processes; partial sums; renewal processes; Schwarz criterion

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M09: Non-Markovian processes: estimation

60F17: Functional limit theorems; invariance principles

Related Items

Moving Sum Data Segmentation for Stochastic Processes Based on Invariance, Two-stage data segmentation permitting multiscale change points, heavy tails and dependence, On consistency of minimum description length model selection for piecewise autoregressions, Estimating nonlinear regression with and without change-points by the LAD method, Non-monotonic penalizing for the number of structural breaks, Rejoinder on: ``Extensions of some classical methods in change point analysis, Structural breaks in time series

Cites Work

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