- Volume 12 Issue 1
Testing for a multiple change point residual variance in regression model
잔차 분산을 이용한 선형회귀모형의 다중전환점 검정
- Lee, In-Suk (Dept of Statistics, Kyungpook National University) ;
- Kim, Jong-Tae (Dept of Statistics, Teagu University) ;
- Lee, Kum-Ja (Dept of Statistics, Kyungpook National University)
- Published : 2001.04.30
The purpose of this study is to test a multiple change point in the regression model with the passage of time, using the estimated residual variance figure suggested by Gasser, Sroka and Jennen - Steinmez (GSJS). As a result of the simulation, it is showed that there is a jump change of the estimated residual variance figure at that time of change point. The way to analyse a intuitive multiple change point through graphics is more effective and accurate than any other existing ways.
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