Change point analysis of a Gaussian model

Jie Chen, A. K. Gupta

Research output: Contribution to journalArticle

13 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 languageEnglish (US)
Pages (from-to)323-333
Number of pages11
JournalStatistical Papers
Volume40
Issue number3
DOIs
Publication statusPublished - Jan 1 1999
Externally publishedYes

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Keywords

  • Change point
  • Information criterion
  • SIC
  • Unbiased SIC

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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