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Detecting Changes in Linear Regressions

 

作者: Lajos Horváth,  

 

期刊: Statistics  （Taylor Available online 1995）
卷期: Volume 26, issue 3  

页码: 189-208

 

ISSN:0233-1888

 

年代: 1995

 

DOI:10.1080/02331889508802489

 

出版商: Gordon & Breach Science Publishers

 

关键词: AMS 1991 subject classification;Primary 60 F15;60 F17;secondary 60 J15;Change-point model;maximum likelihood;strong approximation;extreme value distribution;almost sure consistency

 

数据来源: Taylor

 

摘要:

We obtain the asymptotic distribution of the maximum likelihood ratio test when we test for possible changes in the regression coefficients. We also prove that the maximum likelihood ratio tests is asymptotically consistent. We propose an estimator for the time of change and show that it is almost surely consistent. We consider the cases when the variance remains constant and when it may change at an unknown time.

 

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