Abstract
In this paper, the Schwarz Information Criterion (SIC) is proposed to locate a change point in the simple linear regression model, as well as in the multiple linear regression model. The method is then applied to a financial data set, and a change point is successfully detected.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 2481-2493 |
| Number of pages | 13 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 27 |
| Issue number | 10 |
| DOIs | |
| State | Published - 1998 |
| Externally published | Yes |
Keywords
- Change point
- Information criterion
- Linear regression models
ASJC Scopus subject areas
- Statistics and Probability