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Estimating the number of change-points via Schwarz' criterion

Yi-Ching Yao

Statistics & Probability Letters, 1988, vol. 6, issue 3, 181-189

Abstract: An estimator of the number of change-points in an independent normal sequence is proposed via Schwarz' criterion. Weak consistency of this estimator is established.

Keywords: change-points; dimension; of; a; model; Schwarz'; criterion (search for similar items in EconPapers)
Date: 1988
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Handle: RePEc:eee:stapro:v:6:y:1988:i:3:p:181-189