Bayes estimation of two-phase linear regression model

DOI10.1155/2011/357814MaRDI QIDQ764451zbMATH OpenOpenAlexWikidataFDO

Authors Mayuri Pandya, Krishnam Bhatt, Paresh Andharia

Publication date 13 March 2012

Published in International Journal of Quality, Statistics, and Reliability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2011/357814

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Linear regression; mixed models (62J05)

Review text

Summary: Let the regression model be \(Y_i = \beta_1 X_i + \epsilon_i\), where \(\epsilon_i\) are i.i.d. \(N (0, \sigma^2)\) random errors with variance \(\sigma^2 > 0\) but later it is found that there was a change in the system at some time point \(m\) and is reflected in the sequence after \(X_m\) by change in slope of the regression parameter \(\beta_2\). The problem of study is when and where this change had occurred. This is called the change point inference problem. The estimators of \(m,\;\beta_1,\;\beta_2\) are derived under asymmetric loss functions, namely Linex loss and eneral entropy loss functions. The effects of correct and wrong prior information on the Bayes estimates are studied.

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Cited in

(5)

• Bayesian analysis for change-point linear regression models
• On estimation in multiphase regression models with several regressors using prior knowledge
• Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics
• Bayesian empirical likelihood of linear regression model with current status data
• Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations

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