In this paper, we study the testing and estimation of multiple covariance change points for a sequence of m-dimensional (m > 1) Gaussian random vectors by using the Schwarz information criterion (SIC). The unbiased SIC is also obtained. The asymptotic null distribution of the test statistic is derived. The result is applied to a simulated bivariate normal vector sequence (m = 2), and changes are successfully detected.
- Asymptotic distribution
- Information criterion
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty