Change detection in linear regression with time series errors

DOI10.1002/CJS.10043MaRDI QIDQ3561484zbMATH OpenOpenAlexFDO

Authors Edit Gombay

Publication date 25 May 2010

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

Full work available at URL https://doi.org/10.1002/cjs.10043

zbMATH Keywords

change-point problem

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Estimating and Testing Linear Models with Multiple Structural Changes
• Inference about the change-point in a sequence of binomial variables
• Limit theorems for change in linear regression
• Modelling structural breaks, long memory and stock market volatility: an overview
• Monitoring parameter change in AR\((p)\) time series models
• MOSUM tests for parameter constancy
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Testing for changes in the covariance structure of linear processes
• The likelihood ratio test for a change-point in simple linear regression

Cited in

(21)

• Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Detecting changes in linear regression models with skew normal errors
• Estimation and testing in generalized mean-reverting processes with change-point
• Inference in a multivariate generalized mean-reverting process with a change-point
• Improved estimation in tensor regression with multiple change-points
• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
• On sequential detection of parameter changes in linear regression
• Change detection in autoregressive time series
• scientific article; zbMATH DE number 4018119 (Why is no real title available?)
• Change‐point monitoring in linear models
• Change detection in the slope parameter of a linear regression model
• Retrospective change detection for binary time series models
• scientific article; zbMATH DE number 2172883 (Why is no real title available?)
• scientific article; zbMATH DE number 2098059 (Why is no real title available?)
• Detecting early or late changes in linear models with heteroscedastic errors
• Nonparametric change point detection for periodic time series
• A fully flexible changepoint test for regression models with stationary errors
• Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
• Detection of change in the spatiotemporal mean function
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• A data-driven approach to detecting change points in linear regression models

Describes a project that uses

Uses Software

• strucchange

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