Testing for a change point in linear regression models

DOI10.1080/03610929808832238zbMath0926.62011MaRDI QIDQ4216799

Jie Chen

Publication date: 28 November 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929808832238

zbMATH Keywords

change point; SIC; Schwarz information criterion

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

62F03: Parametric hypothesis testing

62H15: Hypothesis testing in multivariate analysis

Related Items

ON CHANGE POINT DETECTION AND ESTIMATION, Changepoint Estimation in a Segmented Linear Regression via Empirical Likelihood, Detecting change points in polynomial regression models with an application to cable data sets, Detection of a change-point in Student-\(t\) linear regression models, Asymptotically distribution free test for parameter change in a diffusion process model

Cites Work

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• A u-i approach to retrospective testing for shifting parameters in a linear model
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• Some Bayesian Inferences for a Changing Linear Model
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• Testing and Locating Variance Changepoints with Application to Stock Prices
• Likelihood procedure for testing change point hypothesis for multivariate Gaussian model
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes