Detecting Changes in Linear Regressions

DOI10.1080/02331889508802489zbMath0812.62074OpenAlexW2097708626MaRDI QIDQ4763484

Lajos Horváth

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889508802489

zbMATH Keywords

maximum likelihoodstrong approximationextreme value distributionmaximum likelihood ratio testchange-point modelalmost sure consistencyestimator for time of change

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Strong limit theorems (60F15) Asymptotic properties of parametric tests (62F05)

Related Items

Detecting at‐Most‐m Changes in Linear Regression Models, Testing for change points in time series models and limiting theorems for NED sequences, Empirical likelihood approach for change-point estimation based on residuals in piecewise linear models, Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model, BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA, Functional Estimation and Change Detection for Nonstationary Time Series, Estimators for the Time of Change in Linear Models, Unnamed Item, Change-point detection in a shape-restricted regression model, Change-Point Detection in Two-Phase Regression with Inequality Constraints on the Regression Parameters, Estimation in a change-point hazard regression model, Detection of structural changes in generalized linear models, Unnamed Item, Unnamed Item, Extensions of some classical methods in change point analysis, Testing for changes in polynomial regression, Detecting change in a hazard regression model with right-censoring, Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives, Testing for structural change of AR model to threshold AR model, Estimation of multiple-regime regressions with least absolutes deviation, The likelihood ratio method for testing changes in the parameters of double exponential observations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The maximum likelihood method for testing changes in the parameters of normal observations
• A limit theorem for the maximum of normalized sums of independent random variables
• Inference in a model with at most one slope-change point
• Tests for parameter changes at unknown times in linear regression models
• Limit theorems for change in linear regression
• Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The likelihood ratio test for a change-point in simple linear regression
• Limit theorems for sums of weakly dependent Banach space valued random variables
• Testing a Sequence of Observations for a Shift in Location
• A Bivariate Test for the Detection of a Systematic Change in Mean
• Testing for a Two-Phase Multiple Regression
• Inference about the intersection in two-phase regression
• A Test for a Shifting Slope Coefficient in a Linear Model
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Inference in Two-Phase Regression
• A New Approach to Estimating Switching Regressions
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes