A linear regression model with persistent level shifts: an alternative to infill asymptotics

DOI10.1016/J.SPL.2014.08.018MaRDI QIDQ464480zbMATHOpenAlexFDO

Authors Jonathan Woody, Robert Lund

Publication date 27 October 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.08.018

zbMATH Keywords

asymptotic normalitylinear modelchangepointsbreakpointsinfill asymptotics

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3812757 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Asymptotic Statistics
• Estimation of multiple-regime regressions with least absolutes deviation
• Inference for single and multiple change-points in time series
• Simple linear regression with multiple level shifts
• Structural breaks in time series

Cited in

(5)

• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
• A fully flexible changepoint test for regression models with stationary errors
• Simple linear regression with multiple level shifts
• Time series regression with persistent level shifts
• Improved estimation in tensor regression with multiple change-points

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