Inference in a model with at most one slope-change point

B. Q. Miao

Journal of Multivariate Analysis, 1988, vol. 27, issue 2, 375-391

Abstract: In this paper the problem of slope-change point in linear regression model is discussed with the help of the theory of Gaussian process. The distribution of the estimators of the change point proposed in this paper can be approximated by the first type of extremal distribution. Based on this fact, the detection and interval estimation of a change-point in various situations are discussed.

Keywords: Asymptotic; distribution; change; point; detection; Gaussian; process; interval; estimate (search for similar items in EconPapers)
Date: 1988
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