Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Combination of Schwarz Information Criteria for Change-Point Analysis

  • Published : 2002.10.31
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Abstract

The purpose of this paper is to suggest a method for detecting the linear regression change-points or variance change-points in regression model by the combination of Schwarz information criteria. The advantage of the suggested method is to detect change-points more detailed when one compares the suggest method with Chen (1998)'s method.

Keywords

References

  1. 2nd International Symposium on Information Theory Information theory and an extension of the maximum likehood principle Akaike, H.;B. N. Petrov(Ed.);F. Csaki(Ed.)
  2. Commun. statist -Theory Meth. v.27 Testing for a change point in linear regression models Chen, J.
  3. Journal of the American Statistical Association v.92 Testing and Locating Variance Changpoints With Application to Stock Prices Chen, J.;Gupta, A.K.
  4. Annals of Stastics v.6 Estimating the dimension of a model Schwarz, G.