In this paper, an algorithm using binary trees is developed to detect the change points of a data set in which the data are assumed to be normally distributed. Usual BIC-type criteria are considered in the binary searching procedures when the number of change points is unknown. The algorithm is also extended to the switching regression models. Simulation study confirms that our algorithm is efficient compared with the ML-method. A real data example also verifies that the proposed procedure is appropriate.
Quality & Quantity – Springer Journals
Published: Mar 12, 2010
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