Change-point detection of the Kumaraswamy skew-t distribution based on modified information criterion

Jun Wang and Wei Ning

Journal of Applied Statistics, 2025, vol. 52, issue 8, 1561-1570

Abstract: In this paper, we study the change-point problem of the Kumaraswamy skew-t distribution. An approach based on the modified information criterion is proposed to detect the changes of the parameters of this distribution. Simulations have been conducted to investigate the performance of the proposed method. The proposed method is applied to real data to illustrate the detection procedure.

Date: 2025
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DOI: 10.1080/02664763.2024.2431743

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