Consistent two-stage multiple change-point detection in linear models

A two-stage procedure for simultaneously detecting multiple change-points in linear models is developed. In the cutting stage, the change-point problem is converted into a model selection problem so that a modern model selection method can be applied. In the refining stage, the change-points obtained in the cutting stage are finalized via a refining method. Under mild conditions, consistency of the number of change-point estimates is established. The new procedure is fast and accurate, as shown in simulation studies. Its applicability in real situations is demonstrated via well-log and ozone data. (C) 2016 Statistical Society of Canada