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Multiple Structural Change-Point Estimation in Linear Regression Models
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 Title & Authors
Multiple Structural Change-Point Estimation in Linear Regression Models
Kim, Jae-Hee;
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This paper is concerned with the detection of multiple change-points in linear regression models. The proposed procedure relies on the local estimation for global change-point estimation. We propose a multiple change-point estimator based on the local least squares estimators for the regression coefficients and the split measure when the number of change-points is unknown. Its statistical properties are shown and its performance is assessed by simulations and real data applications.
Change-point model;local least squares estimator;
 Cited by
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