Showing 1 - 2 of 2
The modified information criterion (MIC) is applied to detect multiple change points in a sequence of independent random variables. We find that the method is consistent in selecting the correct model, and the resulting test statistic has a simple limiting distribution. We show that the...
Persistent link: https://www.econbiz.de/10005199862
Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical likelihood-based methods, which may have nice practical...
Persistent link: https://www.econbiz.de/10005006566