Estimation of a change in linear models

Marie Husková

Statistics & Probability Letters, 1996, vol. 26, issue 1, 13-24

Abstract: An estimator of the change point in the linear model is proposed and its asymptotic properties (the rate of consistency and the limit distribution) are derived. This estimator is then used to construct estimators for the magnitude of the change of the regression parameters and of the scale. Their asymptotic properties are studied too.

Keywords: Change; point; problem; Estimators; Linear; models (search for similar items in EconPapers)
Date: 1996
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