A general criterion to determine the number of change-points

作者：Ciuperca Gabriela^*

来源：Statistics & Probability Letters, 2011, 81(8): 1267-1275.

DOI：10.1016/j.spl.2011.03.027

• Selection criterion
• Multiple change-points
• M-estimator
• Consistency

A general criterion is proposed to determine the number K of the change-points in a parametric nonlinear multi-response model. Schwarz criterion is a particular case. The change-points depend on regressor values and not on instant of measure. We prove that the proposed estimator for K is consistent. Simulation results, using Monte Carlo technique, for nonlinear models which have numerous applications, support the relevance of the theory.

• 出版日期2011-8