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
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