Application of modified information criterion to multiple change point problems
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- Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013.
"Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery,"
LSE Research Online Documents on Economics
54934, London School of Economics and Political Science, LSE Library.
- Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
- Cho, Haeran & Kirch, Claudia, 2024. "Data segmentation algorithms: Univariate mean change and beyond," Econometrics and Statistics, Elsevier, vol. 30(C), pages 76-95.
- Lee Jaeeun & Chen Jie, 2019. "A penalized regression approach for DNA copy number study using the sequencing data," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 18(4), pages 1-14, August.
- Liao, Guobo & Yin, Hongpeng & Chen, Min & Lin, Zheng, 2021. "Remaining useful life prediction for multi-phase deteriorating process based on Wiener process," Reliability Engineering and System Safety, Elsevier, vol. 207(C).
- A. Batsidis & N. Martín & L. Pardo & K. Zografos, 2016. "ϕ-Divergence Based Procedure for Parametric Change-Point Problems," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 21-35, March.
- Gordon J. Ross, 2020. "Tracking the evolution of literary style via Dirichlet–multinomial change point regression," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(1), pages 149-167, January.
- Cai, Xia & Tian, Yubin & Ning, Wei, 2017. "Modified information approach for detecting change points in piecewise linear failure rate function," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 130-140.
- Marie Hušková & Zuzana Prášková, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 265-269, June.
- Fryzlewicz, Piotr, 2020. "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection," LSE Research Online Documents on Economics 103430, London School of Economics and Political Science, LSE Library.
- Ciuperca, Gabriela, 2011. "A general criterion to determine the number of change-points," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1267-1275, August.
- Wu, Y., 2008. "Simultaneous change point analysis and variable selection in a regression problem," Journal of Multivariate Analysis, Elsevier, vol. 99(9), pages 2154-2171, October.
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Keywords
Consistency Convergence rate Limiting distribution Multiple change points Model complexity Regular parametric model;Statistics
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