Developing a new BIC for detecting change-points |
| |
Authors: | Gang Shen Jayanta K. Ghosh |
| |
Affiliation: | 1. Department of Statistics, North Dakota State University, United States;2. Department of Statistics, Purdue University, United States;3. Indian Statistical Institute, India |
| |
Abstract: | Usual derivation of BIC for the marginal likelihood of a model or hypothesis via Laplace approximation does not hold for a change-point which is a discrete parameter. We provide an analogue l BIC, which is a lower bound to the marginal likelihood of a model with change points and has an approximation error up to Op(1) like standard Schwartz BIC. Several applications are provided covering simulated r.v.'s and real financial figures on short-term interest rate. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|