DOI QR코드

DOI QR Code

Multiple Structural Change-Point Estimation in Linear Regression Models

Kim, Jae-Hee

  • 투고 : 2012.02.16
  • 심사 : 2012.04.02
  • 발행 : 2012.05.31

초록

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.

키워드

Change-point model;local least squares estimator

참고문헌

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과제정보

연구 과제 주관 기관 : National Foundation of Korea (NRF)