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
Link To Document :
بازگشت