Inference for Multiple Change-points in Linear and Non-linear Time Series Models

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In this paper we develop a generalized likelihood ratio scan method (GLRSM) for multiple change-points inference in piecewise stationary time series, which estimates the number and positions of change-points and provides a confidence interval for each change-point. The computational complexity of using GLRSM for multiple change-points detection is as low as O(n(n)³) for a series of length n. Consistency of the estimated numbers and positions of the change-points is established. Extensive simulation studies are provided to demonstrate the effectiveness of the proposed methodology under different scenarios.