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)
  • 이인석 (경북대학교 자연과학대학 통계학과) ;
  • 김종태 (대구대학교 이과대학 통계학과) ;
  • 이금자 (경북대학교 대학원 통계학과)
  • Published : 2001.04.30

Abstract

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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