A state-space approach to polygonal line regression

DOI10.1007/BF00054786zbMath0857.62086MaRDI QIDQ1817391

Nobushisa Kashiwagi

Publication date: 1 December 1996

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

smoothingsimulationAkaike information criterionedge detectionstructural changeslinear trendnon-Gaussian state-space modelswitching trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• Bayesian detection of structural changes
• On use of the Kalman filter for spatial smoothing
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• A New Algorithm for Spline Smoothing Based on Smoothing a Stochastic Process
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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