作者：Yau, Chun Yip; Zhao, Zifeng
作者单位：Chinese University of Hong Kong; University of Wisconsin System; University of Wisconsin Madison
摘要：We propose a likelihood ratio scan method for estimating multiple change points in piecewise stationary processes. Using scan statistics reduces the computationally infeasible global multiple-change-point estimation problem to a number of single-change-point detection problems in various local windows. The computation can be efficiently performed with order O{nptlog(n)}. Consistency for the estimated numbers and locations of the change points are established. Moreover, a procedure is developed...
