Statistical inference of covariance change points in Gaussian model

被引：13
|
作者：
Chen, J
Gupta, AK [1 ]
机构：
[1] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA
[2] Univ Missouri, Dept Math & Stat, Kansas City, MO 64110 USA
来源：
STATISTICS | 2004年 / 38卷 / 01期
关键词：
change-points; information criterion; SIC; asymptotic distribution;
D O I：
10.1080/0233188032000158817
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：17 / 28
页数：12
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