1. Change point detection for a skew normal distribution based on the Q-function.
- Author
-
Du, Yang and Cheng, Weihu
- Subjects
SKEWNESS (Probability theory) ,ASYMPTOTIC distribution ,GAUSSIAN distribution ,EXPECTATION-maximization algorithms ,CORPORATE finance ,CHANGE-point problems - Abstract
In this paper, we enhanced change point detection in skew normal distribution models by integrating the EM algorithm's Q-function with the modified information criterion (MIC). The new QMIC framework improves sensitivity and accuracy in detecting changes, outperforming the modified information criterion (MIC) and the traditional Bayesian information criterion (BIC). Due to the complexity of deriving analytic asymptotic distributions, bootstrap simulations were used to determine critical values at various significance levels. Extensive simulations demonstrate that QMIC offers superior detection capabilities. We applied the QMIC method to two stock market datasets, successfully identifying multiple change points, and highlighting its effectiveness for real-world financial data analysis. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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