Consistent selection of the number of change-points via sample-splitting

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.