Brazilian Journal of Probability and Statistics

Modified information criterion for testing changes in skew normal model

Khamis K. Said, Wei Ning, and Yubin Tian

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Abstract

In this paper, we study the change point problem for the skew normal distribution model from the view of model selection problem. The detection procedure based on the modified information criterion (MIC) for change problem is proposed. Such a procedure has advantage in detecting the changes in early and late stage of a data comparing to the one based on the traditional Schwarz information criterion which is well known as Bayesian information criterion (BIC) by considering the complexity of the models. Due to the difficulty in deriving the analytic asymptotic distribution of the test statistic based on the MIC procedure, the bootstrap simulation is provided to obtain the critical values at the different significance levels. Simulations are conducted to illustrate the comparisons of performance between MIC, BIC and likelihood ratio test (LRT). Such an approach is applied on two stock market data sets to indicate the detection procedure.

Article information

Source
Braz. J. Probab. Stat., Volume 33, Number 2 (2019), 280-300.

Dates
Received: May 2017
Accepted: November 2017
First available in Project Euclid: 4 March 2019

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1551690035

Digital Object Identifier
doi:10.1214/17-BJPS388

Mathematical Reviews number (MathSciNet)
MR3919024

Zentralblatt MATH identifier
07057448

Keywords
Skew normal distribution change points model selection Bayesian information criterion modified information criterion likelihood ratio test

Citation

Said, Khamis K.; Ning, Wei; Tian, Yubin. Modified information criterion for testing changes in skew normal model. Braz. J. Probab. Stat. 33 (2019), no. 2, 280--300. doi:10.1214/17-BJPS388. https://projecteuclid.org/euclid.bjps/1551690035


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