Abstract
Multiple change-points problem has been discussed recently on the background of financial market. As a financial crisis or big event happened, the government should increase the macro-control ability in order to mitigate property damage. The above issue can be resolved through finding a more accurate model which fits the peculiar financial asset price, and finding a more efficient test. This paper proposes a method of detecting multiple change-points under a semiparametric model. Using empirical likelihood technique to acquire the maximum likelihood estimation of multiple change-points, and testing the estimation by loglikelihood ratio. Furthermore, we present a sequential approach to find the number of change-points. The simulation experiments prove that the proposed multiple change-points estimation is more efficient than the nonparametric one. The diagnosis with application for multiple change-points also illustrates the proposed model well.
Published Version
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