DETECTING CHANGES IN LINEAR REGRESSIONS

Authors
HORVATH L
Citation
L. Horvath, DETECTING CHANGES IN LINEAR REGRESSIONS, Statistics, 26(3), 1995, pp. 189-208
Citations number
38
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Statistics → ACNP
ISSN journal
02331888
Volume
26
Issue
3
Year of publication
1995
Pages
189 - 208
Database
ISI
SICI code
0233-1888(1995)26:3<189:DCILR>2.0.ZU;2-5
Abstract
We obtain the asymptotic distribution of the maximum likelihood ratio test when we test for possible changes in the regression coefficients. We also prove that the maximum likelihood ratio tests is asymptotical ly consistent. We propose an estimator for the time of change and show that it is almost surely consistent. We consider the cases when the v ariance remains constant and when it may change at an unknown time.