A general criterion to determine the number of change-points
Résumé
A general criterion is proposed to determine the number of the change-points in a parametric nonlinear multi-response model. Schwarz criterion is a particular case. The change-points depend of regressors values and not of measure instant. We prove that the proposed estimator for is consistent. Simulation results, using Monte Carlo technique, for nonlinear models which have numerous applications, support the relevance of the theory.
Origine : Fichiers produits par l'(les) auteur(s)
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