Estimators for the Time of Change in Linear Models

DOI10.1080/02331889708802578MaRDI QIDQ4344164zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Marie Hušková, Monika Serbinowska

Publication date 14 December 1997

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889708802578

zbMATH Keywords

change-pointlikelihood methodWiener process

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A limit theorem for the maximum of normalized sums of independent random variables
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Approximations for the time of change and the power function in change-point models
• Change-point estimators in case of small disorders
• Detecting Changes in Linear Regressions
• Estimation of a change in linear models
• scientific article; zbMATH DE number 3599370 (Why is no real title available?)
• Limit theorems for change in linear regression
• Limit theorems for the union-intersection test
• Nonparametric detection of changepoints for sequentially observed data
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The joint density of the maximum and its location for a Wiener process with drift
• The minimum of an additive process with applications to signal estimation and storage theory

Cited in

(14)

• Detecting change in a hazard regression model with right-censoring
• Estimation of multiple-regime regressions with least absolutes deviation
• Rank based estimators of the change-point
• Limit theorems for kernel-type estimators for the time of change
• The likelihood ratio method for testing changes in the parameters of double exponential observations
• Estimation of a change in linear models
• Estimating change points in nonparametric time series regression models
• Estimation in a change-point hazard regression model
• Extensions of some classical methods in change point analysis
• Estimating a change point in the long memory parameter
• Applications of asymptotic inference in segmented line regression
• Empirical likelihood approach for change-point estimation based on residuals in piecewise linear models
• Bayesian Estimation of the Number of Change Points in Simple Linear Regression Models
• Estimating nonlinear regression with and without change-points by the LAD method

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