Add like
Add dislike
Add to saved papers

Consistent Model Selection in Segmented Line Regression.

The Schwarz criterion or Bayes Information Criterion (BIC) is often used to select a model dimension, and some variations of the BIC have been proposed in the context of change-point problems. In this paper, we consider a segmented line regression model with an unknown number of change-points and study asymptotic properties of Schwarz type criteria in selecting the number of change-points. Noticing the overestimating tendency of the traditional BIC observed in some empirical studies and being motivated by asymptotic behavior of the modified BIC proposed by Zhang and Siegmund (2007), we consider a variation of the Schwarz type criterion that applies a harsher penalty equivalent to the model with one additional unknown parameter per segment. For the segmented line regression model without the continuity constraint, we prove the consistency of the number of change-points selected by the criterion with such type of a modification and summarize the simulation results that support the consistency. Further simulations are conducted for the model with the continuity constraint, and we empirically observe that the asymptotic behavior of this modified version of BIC is comparable to that of the criterion proposed by Liu, Wu, and Zidek (1997).

Full text links

We have located links that may give you full text access.
Can't access the paper?
Try logging in through your university/institutional subscription. For a smoother one-click institutional access experience, please use our mobile app.

Related Resources

For the best experience, use the Read mobile app

Mobile app image

Get seemless 1-tap access through your institution/university

For the best experience, use the Read mobile app

All material on this website is protected by copyright, Copyright © 1994-2024 by WebMD LLC.
This website also contains material copyrighted by 3rd parties.

By using this service, you agree to our terms of use and privacy policy.

Your Privacy Choices Toggle icon

You can now claim free CME credits for this literature searchClaim now

Get seemless 1-tap access through your institution/university

For the best experience, use the Read mobile app