Approximations to the p-values of tests for a change-point under non-standard conditions

DOI10.1080/00949655.2015.1069826MaRDI QIDQ5222416zbMATH OpenOpenAlexFDO

Authors Gabrielle Kelly

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1069826

zbMATH Keywords

bootstrapregressionsimulationlikelihood ratio testchange-pointLagrange multiplier testcorrelated errorsheteroskedastic errorssup-F testtime trend regressor

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Recommendations

• Bootstrap in detection of changes in linear regression
• Bootstrap change point testing for dependent data
• Bootstrapping Sequential Change-Point Tests
• The likelihood ratio test for a change-point in simple linear regression
• Change-point problem and bootstrap

Cites work

• scientific article; zbMATH DE number 4098516 (Why is no real title available?)
• scientific article; zbMATH DE number 1865744 (Why is no real title available?)
• scientific article; zbMATH DE number 854964 (Why is no real title available?)
• A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
• A comparison of estimators for regression models with change points
• A multivariate generalization of the power exponential family of distributions
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• Confidence Sets in Change-Point Problems
• Confidence regions and tests for a change-point in a sequence of exponential family random variables
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the Number of Change Points in Exponential Families Distributions
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Optimal changepoint tests for normal linear regression
• Testing for a Two-Phase Multiple Regression
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The impact of bootstrap methods on time series analysis
• The impact of the bootstrap on statistical algorithms and theory
• The likelihood ratio test for a change-point in simple linear regression

Cited in

(5)

• Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
• Approximate p-values of certain tests involving hypotheses about multiple breaks
• Bootstrap in detection of changes in linear regression
• Bootstrap change point testing for dependent data
• Some remarks on applications of tests for detecting a change point to psychometric problems

Describes a project that uses

Uses Software

• strucchange
• R

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