A pairwise likelihood-based approach for changepoint detection in multivariate time series models

Ting Fung Ma and Chun Yip Yau

Biometrika, 2016, vol. 103, issue 2, 409-421

Abstract: This paper develops a composite likelihood-based approach for multiple changepoint estimation in multivariate time series. We derive a criterion based on pairwise likelihood and minimum description length for estimating the number and locations of changepoints and for performing model selection in each segment. The number and locations of the changepoints can be consistently estimated under mild conditions and the computation can be conducted efficiently with a pruned dynamic programming algorithm. Simulation studies and real data examples demonstrate the statistical and computational efficiency of the proposed method.

Date: 2016
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Citations: View citations in EconPapers (3)

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