A Sharp Signal-to-Noise Threshold for Quasi-Maximum Likelihood Breakpoint Estimation
拟最大似然断点估计的锐信噪比阈值
We establish a sharp pathwise signal-to-noise criterion for quasi-maximum-likelihood (QML) estimation of a dominant breakpoint in the second-moment structure of a multivariate time series: the QML estimator is consistent whenever the between-regime contrast exceeds the within-regime fluctuation by an explicit factor, and below this threshold global recovery can fail. Two innovations drive the result. First, the framework is pathwise: no stochastic model is imposed on the…