Application of modified information criterion to multiple change point problems

Jianmin Pan and Jiahua Chen

Journal of Multivariate Analysis, 2006, vol. 97, issue 10, 2221-2241

Abstract: The modified information criterion (MIC) is applied to detect multiple change points in a sequence of independent random variables. We find that the method is consistent in selecting the correct model, and the resulting test statistic has a simple limiting distribution. We show that the estimators for locations of change points achieve the best convergence rate, and their limiting distribution can be expressed as a function of a random walk. A simulation is conducted to demonstrate the usefulness of this method by comparing the powers between the MIC and the Schwarz information criterion.

Keywords: Consistency; Convergence; rate; Limiting; distribution; Multiple; change; points; Model; complexity; Regular; parametric; model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (11)

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