Application of modified information criterion to multiple change point problems
The modified information criterion (MIC) is applied to detect multiple change points in a sequence of independent random variables. We find that the method is consistent in selecting the correct model, and the resulting test statistic has a simple limiting distribution. We show that the estimators for locations of change points achieve the best convergence rate, and their limiting distribution can be expressed as a function of a random walk. A simulation is conducted to demonstrate the usefulness of this method by comparing the powers between the MIC and the Schwarz information criterion.
Volume (Year): 97 (2006)
Issue (Month): 10 (November)
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"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche
9552, Universite de Montreal, Departement de sciences economiques.
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