Asymptotic properties of maximum likelihood estimators in models with multiple change points

DOI10.3150/09-BEJ232zbMATH Open1220.62021arXiv1102.5224MaRDI QIDQ637080FDOQ637080

Authors: Heping He, Thomas Severini 

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Models with multiple change points are used in many fields; however, the theoretical properties of maximum likelihood estimators of such models have received relatively little attention. The goal of this paper is to establish the asymptotic properties of maximum likelihood estimators of the parameters of a multiple change-point model for a general class of models in which the form of the distribution can change from segment to segment and in which, possibly, there are parameters that are common to all segments. Consistency of the maximum likelihood estimators of the change points is established and the rate of convergence is determined; the asymptotic distribution of the maximum likelihood estimators of the parameters of the within-segment distributions is also derived. Since the approach used in single change-point models is not easily extended to multiple change-point models, these results require the introduction of those tools for analyzing the likelihood function in a multiple change-point model.

Full work available at URL: https://arxiv.org/abs/1102.5224

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• scientific article; zbMATH DE number 23009

zbMATH Keywords

consistencyKullback-Leibler distanceconvergence ratechange-point fractioncommon parameterwithin-segment parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

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Cited In (19)

• Convergence in distribution of multiple change point estimators
• The limit distribution of dynamic programming estimators of multiple change points
• Maximum likelihood estimator in a multi-phase random regression model
• Maximum likelihood estimation of multiple change points
• Consistency of minimum description length model selection for piecewise stationary time series models
• A semiparametric maximum likelihood ratio test for the change point in copula models
• Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• Some nonparametric tests for change-point detection based on the \(\mathbb{P}\)-\(\mathbb{P}\) and \(\mathbb{Q}\)-\(\mathbb{Q}\) plot processes
• Title not available (Why is that?)
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• Asymptotic results in segmented multiple regression
• Asymptotics of maximum likelihood estimator in a two-phase linear regression model
• Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique
• Mechanistic analysis of challenge-response experiments
• Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives
• Covariates in multipath change-point problems: Modelling and consistency of the MLE

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