Change point analysis of a Gaussian model

Jie Chen, A. K. Gupta

Research output: Contribution to journalArticle

13 Citations (Scopus)

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
StatePublished - Jan 1 1999
Externally publishedYes

Fingerprint

Change-point Analysis
Change Point
Gaussian Model
Change-point Problem
Information Criterion
Test Statistic
Random variable
Testing
Change point

Keywords

  • Change point
  • Information criterion
  • SIC
  • Unbiased SIC

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Change point analysis of a Gaussian model. / Chen, Jie; Gupta, A. K.

In: Statistical Papers, Vol. 40, No. 3, 01.01.1999, p. 323-333.

Research output: Contribution to journalArticle

Chen, Jie ; Gupta, A. K. / Change point analysis of a Gaussian model. In: Statistical Papers. 1999 ; Vol. 40, No. 3. pp. 323-333.
@article{1727c7e2358c4508a4afbffb6e0266ea,
title = "Change point analysis of a Gaussian model",
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.",
keywords = "Change point, Information criterion, SIC, Unbiased SIC",
author = "Jie Chen and Gupta, {A. K.}",
year = "1999",
month = "1",
day = "1",
doi = "10.1007/BF02929878",
language = "English (US)",
volume = "40",
pages = "323--333",
journal = "Statistical Papers",
issn = "0932-5026",
publisher = "Springer New York",
number = "3",

}

TY - JOUR

T1 - Change point analysis of a Gaussian model

AU - Chen, Jie

AU - Gupta, A. K.

PY - 1999/1/1

Y1 - 1999/1/1

N2 - 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.

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.

KW - Change point

KW - Information criterion

KW - SIC

KW - Unbiased SIC

UR - http://www.scopus.com/inward/record.url?scp=0345920694&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0345920694&partnerID=8YFLogxK

U2 - 10.1007/BF02929878

DO - 10.1007/BF02929878

M3 - Article

AN - SCOPUS:0345920694

VL - 40

SP - 323

EP - 333

JO - Statistical Papers

JF - Statistical Papers

SN - 0932-5026

IS - 3

ER -