{"doi":"10.1214/19-aos1814","title":"Consistent selection of the number of change-points via sample-splitting","abstract":"In multiple change-point analysis, one of the major challenges is to estimate the number of change-points. Most existing approaches attempt to minimize a Schwarz information criterion which balances a term quantifying model fit with a penalization term accounting for model complexity that increases with the number of change-points and limits overfitting. However, different penalization terms are required to adapt to different contexts of multiple change-point problems and the optimal penalization magnitude usually varies from the model and error distribution. We propose a data-driven selection criterion that is applicable to most kinds of popular change-point detection methods, including binary segmentation and optimal partitioning algorithms. The key idea is to select the number of change-points that minimizes the squared prediction error, which measures the fit of a specified model for a new sample. We develop a cross-validation estimation scheme based on an order-preserved sample-splitting strategy, and establish its asymptotic selection consistency under some mild conditions. Effectiveness of the proposed selection criterion is demonstrated on a variety of numerical experiments and real-data examples.","journal":"The Annals of Statistics","year":2020,"id":59566,"datarank":0.6307038929086449,"base_score":4.204692619390966,"endowment":4.204692619390966,"self_citation_contribution":0.6307038929086449,"citation_network_contribution":0.0,"self_endowment_contribution":0.6307038929086449,"citer_contribution":0.0,"corpus_percentile":null,"corpus_rank":null,"citation_count":66,"citer_count":0,"citers_with_citation_signal":0,"citers_with_endowment":0,"datacite_reuse_total":0,"is_dataset":false,"is_dataset_confidence":0.952,"is_data_producer":false,"deposit_databanks":null,"is_oa":true,"file_count":0,"downloads":0,"has_version_chain":false,"published_date":"2020-01-01","fair_score":null,"fair_percentile":null,"algorithm_id":"datarank_citation_only_1hop_v6","ranking_scope":"data_only","authors":[{"id":313895,"name":"Guanghui Wang","orcid":"0000-0003-3182-104X","position":1,"is_corresponding":false},{"id":96115,"name":"Runze Li","orcid":"0000-0002-0154-2202","position":2,"is_corresponding":false},{"id":313894,"name":"Changliang Zou","orcid":"0000-0003-2943-7612","position":0,"is_corresponding":true}],"reference_count":46,"raw_metadata":{"citation_network_status":"fetched"},"created_at":"2026-07-18T21:08:26.834549Z","pmid":"32747841","pmcid":null,"fwci":null,"citation_percentile":null,"influential_citations":0,"oa_status":null,"license":null,"views":0,"total_file_size_bytes":0,"version_count":0,"fair_f":null,"fair_a":null,"fair_i":null,"fair_r":null,"fair_zscore":null,"fair_rationale":null,"fair_model":null,"fair_agent_version":null,"fair_fulltext_source":null,"fair_has_llm":null,"fair_computed_at":null,"clinical_trials":[],"software_tools":[],"db_accessions":[],"linked_datasets":[],"topics":[]}