A change-point problem in relative error-based regression

Zhanfeng Wang (), Wenxin Liu () and Yuanyuan Lin ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2015, vol. 24, issue 4, 835-856

Abstract: A nonparametric relative error-based method is proposed to detect and estimate the change point for the multiplicative regression models. The asymptotic distribution of the proposed test statistic for no change-point effect is established. We prove the $$n$$ n -consistency of the proposed estimator of the change point. Simulation studies demonstrate that change-point detection and estimation with relative errors perform reasonably well in many practical situations. Application is illustrated with a financial dataset. Copyright Sociedad de Estadística e Investigación Operativa 2015

Keywords: Change point; Multiplicative regression model; Product form; Relative error; 62F12; 62E20 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11749-015-0438-2

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