Change point analysis with generalized Lambda distribution based on information criterion

doi:10.7523/j.issn.2095-6134.2013.06.003

Abstract

Abstract:

In this article, we study the change point problem with generalized Lambda distribution based on information criterion. It was previously pointed out that, to make the conclusion more statistically convincing, the significant level α and its associated critical value c_α could be introduced. We prove that, under ordinary conditions, this kind of information criterion is equivalent to the maximum likelihood ratio test in asymptotic formation. The simulation study is carried out with five different information criterions and the method is applied to treat practical data. The results show the validity of this method.

Key words: generalized Lambda distribution, change point analysis, information criterion, likelihood ratio test

CLC Number:

O212.1

HUANG Chuan-Ming, ZHANG Xiao-Xu, ZHANG San-Guo. Change point analysis with generalized Lambda distribution based on information criterion[J]. Journal of University of Chinese Academy of Sciences, 2013, 30(6): 728-736.

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