Change detection in linear regression with time series errors
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Publication:3561484
DOI10.1002/cjs.10043zbMath1190.62126OpenAlexW2049311045MaRDI QIDQ3561484
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
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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
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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