The Effect of Autocorrelated Errors on Change-Detection Statistics

S. M. Tang and I. B. Macneill
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S. M. Tang: University of Western Ontario, Department of Statistical and Actuarial Science
I. B. Macneill: University of Western Ontario, Department of Statistical and Actuarial Science

A chapter in Statistical Methods for the Assessment of Point Source Pollution, 1989, pp 103-126 from Springer

Abstract: Abstract In this paper, regression models with error terms generated by lower order ARMA schemes are analyzed. Methods are discussed for estimating the parameters of the regression coefficients and the ARMA processes. The problem of detecting changes in the regression parameters is considered. A change-detection statistic proposed by MacNeill (1978) for regression problems is modified for application to ARMA processes. The effect of autocorrelated errors on this statistic is briefly discussed.

Keywords: Change Point; Asymptotic Distribution; Initial Error; Regression Residual; Simple Linear Regression Model (search for similar items in EconPapers)
Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-1960-0_7

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DOI: 10.1007/978-94-009-1960-0_7

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