Change point analysis of a Gaussian model

Jie Chen; A. K. Gupta

doi:10.1007/BF02929878

Change point analysis of a Gaussian model

Jie Chen, A. K. Gupta

Research output: Contribution to journal › Article › peer-review

20 Scopus citations

Abstract

In this paper, the testing and estimation of a single change point in means and variances of a sequence of independent Gaussian normal random variables are studied. The Schwarz Information Criterion, SIC, is used to search for the change point. The unbiased version of the SIC for this change point problem is also derived for the finite sample case. Other properties of the SIC test statistic are given as well. Finally, two examples are given at the end of this paper to illustrate the method proposed, and changes are successfully detected.

Original language	English (US)
Pages (from-to)	323-333
Number of pages	11
Journal	Statistical Papers
Volume	40
Issue number	3
DOIs	https://doi.org/10.1007/BF02929878
State	Published - Jul 1999
Externally published	Yes

Keywords

Change point
Information criterion
SIC
Unbiased SIC

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1007/BF02929878

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AB - In this paper, the testing and estimation of a single change point in means and variances of a sequence of independent Gaussian normal random variables are studied. The Schwarz Information Criterion, SIC, is used to search for the change point. The unbiased version of the SIC for this change point problem is also derived for the finite sample case. Other properties of the SIC test statistic are given as well. Finally, two examples are given at the end of this paper to illustrate the method proposed, and changes are successfully detected.

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KW - Unbiased SIC

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Change point analysis of a Gaussian model

Abstract

Keywords

ASJC Scopus subject areas

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