Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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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
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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.

본 연구는 시간의 변화에 따라 여러 개의 전환점이 발생하여 선형회귀모형들이 여러번 변화할 때의 변환시점을 Gasser, Stroke와 Jennen-Steinmez의 잔차분산 추정량을 이용하여 검정하고 실제의 몇 가지 모형을 제시하여 Graphic을 통하여 조사한 결과 여기서 제시한 방법이 더 효과적으로 자중전환점을 찾을 수 있었다.

Keywords

References

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