A binary tree algorithm on change points detection

作者：Fan Tsai Hung^*; Hsieh Hui Jane; Lee Hsin Hsian

来源：Quality and Quantity, 2011, 45(3): 599-608.

DOI：10.1007/s11135-010-9316-x

• Change points
• Binary trees
• BIC
• Switching regression models

In this paper, an algorithm using binary trees is developed to detect the change points of a data set in which the data are assumed to be normally distributed. Usual BIC-type criteria are considered in the binary searching procedures when the number of change points is unknown. The algorithm is also extended to the switching regression models. Simulation study confirms that our algorithm is efficient compared with the ML-method. A real data example also verifies that the proposed procedure is appropriate.

• 出版日期2011-4
• 单位中央民族大学