Data-driven selection of the number of change-points via error rate control
通过错误率控制数据驱动地选择变点数量
In multiple change-point analysis, one of the main difficulties is to determine the number of change-points. Various consistent selection methods, including the use of Schwarz information criterion and cross-validation, have been proposed to balance the model fitting and complexity. However, there is lack of systematic approaches to provide theoretical guarantee of significance in determining the number of changes. In this paper, we introduce a data-adaptive selection…