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. 2009 May 1;19(2):597-609.

SELECTING THE NUMBER OF CHANGE-POINTS IN SEGMENTED LINE REGRESSION

Hyune-Ju Kim  1 , Binbing Yu, Eric J Feuer
Affiliations

SELECTING THE NUMBER OF CHANGE-POINTS IN SEGMENTED LINE REGRESSION

Hyune-Ju Kim et al. Stat Sin. .

Abstract

Segmented line regression has been used in many applications, and the problem of estimating the number of change-points in segmented line regression has been discussed in Kim et al. (2000). This paper studies asymptotic properties of the number of change-points selected by the permutation procedure of Kim et al. (2000). This procedure is based on a sequential application of likelihood ratio type tests, and controls the over-fitting probability by its design. In this paper we show that, under some conditions, the number of change-points selected by the permutation procedure is consistent. Via simulations, the permutation procedure is compared with such information-based criterior as the Bayesian Information Criterion (BIC), the Akaike Information Criterion (AIC), and Generalized Cross Validation (GCV).

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Figures

Figure 1
Figure 1
Permutation tests with M0 = 0 and M = 4.
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