頁籤選單縮合
題 名 | Selecting the Number of Change-Points in Segmented Line Regression |
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作 者 | Kim, Hyune-ju; Yu, Binbing; Feuer, Eric J.; | 書刊名 | Statistica Sinica |
卷 期 | 19:2 2009.04[民98.04] |
頁 次 | 頁597-609 |
分類號 | 319.5 |
關鍵詞 | Change-points; Model selection; Permutation test; Segmented line regression; |
語 文 | 英文(English) |
英文摘要 | Abstract: Segmented line regression has been used in many applications, and the problem of estimating the number of change-points in segmented line regression has been discussed in Kim et al. (2000). This paper studies asymptotic properties of the number of change-points selected by the permutation procedure of Kim et al. (2000). This procedure is based on a sequential application of likelihood ratio type tests, and controls the over-fitting probability by its design. In this paper we show that, under some conditions, the number of change-points selected by the permutation procedure is consistent. Via simulations, the permutation procedure is compared with such information-based criterior as the Bayesian Information Criterion (BIC), the Akaike Information Criterion (AIC), and Generalized Cross Validation (GCV). |
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