• Title of article

    Limit theorems for change in linear regression

  • Author/Authors

    Gombay، نويسنده , , Edit and Horvلth، نويسنده , , Lajos، نويسنده ,

  • Issue Information
    دوفصلنامه با شماره پیاپی سال 1994
  • Pages
    27
  • From page
    43
  • To page
    69
  • Abstract
    We consider some tests to detect a change-point in a multiple linear regression model. The tests are based on the maxima of the weighted cumulative sums processes. The limit distributions may be double exponential or maxima of Gaussian processes depending on the set where the maximum of the weighted cumulative sums of residuals is taken. The design-points can be fixed or random. We also give a few applications of our results.
  • Keywords
    Ornstein—Uhlenbeck process , Linear model , Change-point , Strong approximation , Wiener Process
  • Journal title
    Journal of Multivariate Analysis
  • Serial Year
    1994
  • Journal title
    Journal of Multivariate Analysis
  • Record number

    1557102