Sequential change point detection in linear quantile regression models

Mi Zhou, Huixia Judy Wang and Yanlin Tang

Statistics & Probability Letters, 2015, vol. 100, issue C, 98-103

Abstract: We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

Keywords: Change point detection; Linear regression; Quantile regression; Sequential testing; Structural change (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.01.031

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