Time series regression with persistent level shifts

DOI10.1016/J.SPL.2015.03.011MaRDI QIDQ889016zbMATH OpenOpenAlexFDO

Authors Jonathan Woody

Publication date 5 November 2015

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

Full work available at URL https://doi.org/10.1016/j.spl.2015.03.011

zbMATH Keywords

linear modelrenewal processtime serieschangepoints

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 3305591 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3346000 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A linear regression model with persistent level shifts: an alternative to infill asymptotics
• Consistent regression estimation with fixed design points under dependence conditions
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation of a change-point in the mean function of functional data
• Inference about the Point of Change in a Regression Model
• Inference for single and multiple change-points in time series
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Simple linear regression with multiple level shifts
• Structural breaks in time series
• Testing for changes in polynomial regression

Cited in

(5)

• A fully flexible changepoint test for regression models with stationary errors
• A linear regression model with persistent level shifts: an alternative to infill asymptotics
• Analysis of time series with multiple shifts of levels and volatilities
• Simple linear regression with multiple level shifts
• Bent-cable regression with autoregressive noise

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