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

DOI10.3150/09-BEJ232MaRDI QIDQ637080zbMATHFDO

Authors Heping He, Thomas Severini

Publication date 2 September 2011

Published in Bernoulli (Search for Journal in Brave)

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

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)

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.

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Cited in

(19)

• Convergence in distribution of multiple change point estimators
• Consistency of minimum description length model selection for piecewise stationary time series models
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• Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points

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