Change-point estimators with true identification property. (English) Zbl 1380.62098

Summary: The change-point problem is reformulated as a penalized likelihood estimation problem. A new non-convex penalty function is introduced to allow consistent estimation of the number of change points, and their locations and sizes. Penalized likelihood methods based on LASSO and SCAD penalties may not satisfy such a property. The asymptotic properties for the local solutions are established and numerical studies are conducted to highlight their performance. An application to copy number variation is discussed.


62F10 Point estimation
62J07 Ridge regression; shrinkage estimators (Lasso)
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