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Consistency of a range of penalised cost approaches for detecting multiple changepoints

Research output: Contribution to Journal/MagazineJournal articlepeer-review

<mark>Journal publication date</mark>30/08/2022
<mark>Journal</mark>Electronic Journal of Statistics
Issue number2
Number of pages50
Pages (from-to)4497-4546
Publication StatusPublished
<mark>Original language</mark>English


A common approach to detect multiple changepoints is to min- imise a measure of data fit plus a penalty that is linear in the number of changepoints. This paper shows that the general finite sample behaviour of such a method can be related to its behaviour when analysing data with either none or one changepoint. This property results in simpler conditions for verifying whether the method will consistently estimate the number and locations of the changepoints. We apply and demonstrate the useful- ness of these simple conditions for a range of changepoint problems. Our new results include a weaker requirement on the choice of penalty to have consistency in a change-in-slope model; and the first results for the accuracy of recently-proposed methods for detecting spikes.