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Estimating the number of change-points via Schwarz' criterion

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Author Info
Yao, Yi-Ching
Abstract

An estimator of the number of change-points in an independent normal sequence is proposed via Schwarz' criterion. Weak consistency of this estimator is established.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-47N61T0-5Y/2/a5e3ba50aa6d63e8a46dd68625bcdf51
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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 6 (1988)
Issue (Month): 3 (February)
Pages: 181-189
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Handle: RePEc:eee:stapro:v:6:y:1988:i:3:p:181-189

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Keywords: change-points dimension of a model Schwarz&apos criterion;

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  3. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
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  6. Mohamed BOUTAHAR & Jamel JOUINI, 2007. "wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence," Economics Bulletin, Economics Bulletin, vol. 3(3), pages 1-10. [Downloadable!]
  7. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City. [Downloadable!]
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  10. J. Jouini & M. Boutahar, 2003. "Structural breaks in the U.S. inflation process: a further investigation," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 985-988, December. [Downloadable!] (restricted)
  11. Strikholm, Birgit, 2006. "Determining the number of breaks in a piecewise linear regression model," Working Paper Series in Economics and Finance 648, Stockholm School of Economics. [Downloadable!]
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