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May 2019 Modified information criterion for testing changes in skew normal model
Khamis K. Said, Wei Ning, Yubin Tian
Braz. J. Probab. Stat. 33(2): 280-300 (May 2019). DOI: 10.1214/17-BJPS388

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.

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Khamis K. Said. Wei Ning. Yubin Tian. "Modified information criterion for testing changes in skew normal model." Braz. J. Probab. Stat. 33 (2) 280 - 300, May 2019. https://doi.org/10.1214/17-BJPS388

Information

Received: 1 May 2017; Accepted: 1 November 2017; Published: May 2019
First available in Project Euclid: 4 March 2019

zbMATH: 07057448
MathSciNet: MR3919024
Digital Object Identifier: 10.1214/17-BJPS388

Keywords: Bayesian Information Criterion , Change points , likelihood ratio test , Model selection , modified information criterion , skew normal distribution

Rights: Copyright © 2019 Brazilian Statistical Association

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Vol.33 • No. 2 • May 2019
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