Change point analysis of a Gaussian model

被引：24

作者：

Chen, J

Gupta, AK

机构：

[1] Univ Missouri, Dept Math & Stat, Kansas City, MO 64110 USA

[2] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA

来源：

STATISTICAL PAPERS | 1999年 / 40卷 / 03期

关键词：

information criterion; change point; SIC; unbiased SIC;

D O I：

10.1007/BF02929878

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, the testing and estimation of a single change point in means and variances of a sequence of independent Gaussian normal random variables are studied. The Schwarz Information Criterion, SIG, is used to search for the change point. The unbiased version of the SIC for this change point problem is also derived for the finite sample case. Other properties of the SIC test statistic are given as well. Finally, two examples are given at the end of this paper to illustrate the method proposed, and changes are successfully detected.

引用

页码：323 / 333

页数：11

共 14 条

[1]

Abramowitz M., 1965, HDB MATH

[2]

Akaike H., 1973, 2 INT S INFORM THEOR, P267, DOI [DOI 10.1007/978-1-4612-1694-0_15, 10.1007/978-1-4612-1694-0_15]

[3] Testing and locating variance changepoints with application to stock prices [J].