Change-point detection as model selection
Volume 3, Issue 1 (1992), pp. 3–20
Pub. online: 1 January 1992
Type: Research Article
Published
1 January 1992
1 January 1992
Abstract
We present a new method for solving the change-point detection problem for ARMA systems which are assumed to have a slow and non-decaying drift after the change occurs. The proposed technique is inspired by the stochastic complexity theory, which gives a basis of comparison of different models with different change-point times. Some partial results on the analysis of the estimator are stated. A simulation is included which shows that the approach exhibits surprisingly good detection capabilities.