Information criterion for Gaussian change-point model
AbstractAIC-type information criterion is generally estimated by the bias-corrected maximum log-likelihood. In regular models, the bias can be estimated by p, where p is the number of parameters. The present paper considers the AIC-type information criterion for change-point models which are not regular, the bias of which will not be the same as for regular models. The bias is shown to depend on the expected maximum of a random walk with negative drift. Furthermore, it is shown that by using an approximation to a Brownian motion, the evaluated bias is given by 3m+pm (not m+pm), where m is the number of change-points and pm is the number of regular parameters, which differs from regular models.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 72 (2005)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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