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Test for Distribution Change of Dependent Errors
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 Title & Authors
Test for Distribution Change of Dependent Errors
Na, Seong-Ryong;
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In this paper the change point problem of the error terms in linear regression models is considered. Since fixed or stochastic independent variables and weakly dependent errors are assumed, usual multiple regression models and time series models including ARMA are covered. We use the estimates of probability density function based on residuals in order to test the distribution change of the unobserved errors. Under some mild conditions, the test using the residuals is proved to have the same limiting distribution as the test based on true errors.
Change point;time series;dependent error;strong mixing;estimation of probability density function;
 Cited by
분포변화 검정에서 경험확률과정과 커널밀도함수추정량의 검정력 비교,나성룡;박현아;

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