Change detection in linear regression with time series errors

DOI10.1002/cjs.10043zbMath1190.62126OpenAlexW2049311045MaRDI QIDQ3561484

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Publication date: 25 May 2010

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.10043

zbMATH Keywords

change-point problem

Mathematics Subject Classification ID

Related Items (8)

Detecting at‐Most‐m Changes in Linear Regression Models ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Improved estimation in tensor regression with multiple change-points ⋮ Retrospective change detection for binary time series models ⋮ On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap ⋮ Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point ⋮ Inference in a multivariate generalized mean-reverting process with a change-point ⋮ Estimation and testing in generalized mean-reverting processes with change-point

Uses Software

• strucchange

Cites Work

• Modelling structural breaks, long memory and stock market volatility: an overview
• Monitoring parameter change in AR\((p)\) time series models
• Testing for changes in the covariance structure of linear processes
• Limit theorems for change in linear regression
• The likelihood ratio test for a change-point in simple linear regression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Estimating and Testing Linear Models with Multiple Structural Changes
• MOSUM tests for parameter constancy
• Inference about the change-point in a sequence of binomial variables

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