Simple linear regression with multiple level shifts

DOI10.1002/cjs.5550350308zbMath1132.62069OpenAlexW2023900854MaRDI QIDQ5449244

Qiqi Lu, Robert B. Lund

Publication date: 11 March 2008

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5550350308

zbMATH Keywords

linear trend

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to environmental and related topics (62P12)

Related Items

On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ A comparison of single and multiple changepoint techniques for time series data ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Time series regression with persistent level shifts ⋮ A linear regression model with persistent level shifts: an alternative to infill asymptotics ⋮ Inference in a multivariate generalized mean-reverting process with a change-point ⋮ Estimation and testing in generalized mean-reverting processes with change-point ⋮ An MDL approach to the climate segmentation problem ⋮ A class of Stein-rules in multivariate regression model with structural changes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Consistent regression estimation with fixed design points under dependence conditions
• Time series: theory and methods.
• Estimation and comparison of multiple change-point models
• On discriminating between long-range dependence and changes in mean
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• Time Series Regression with a Unit Root
• Revisiting simple linear regression with autocorrelated errors
• Inference about the intersection in two-phase regression
• Inference in Two-Phase Regression
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• An Example of Autocorrelated Disturbances in Linear Regression
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance