| Title:
|
Some invariant test procedures for detection of structural changes (English) |
| Author:
|
Hušková, Marie |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
36 |
| Issue:
|
4 |
| Year:
|
2000 |
| Pages:
|
[401]-414 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Regression and scale invariant $M$-test procedures are developed for detection of structural changes in linear regression model. Their limit properties are studied under the null hypothesis. (English) |
| Keyword:
|
linear regression |
| Keyword:
|
$M$-test procedures |
| MSC:
|
60F05 |
| MSC:
|
62F03 |
| MSC:
|
62J05 |
| MSC:
|
62P20 |
| idZBL:
|
Zbl 1248.62114 |
| idMR:
|
MR1830646 |
| . |
| Date available:
|
2009-09-24T19:33:56Z |
| Last updated:
|
2015-03-27 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135360 |
| . |
| Reference:
|
[1] Billingsley P.: Convergence of Probability Measures.Wiley, New York 1968 Zbl 0944.60003, MR 0233396 |
| Reference:
|
[2] Csörgő M., Horváth L.: Weighted Approximations in Probability and Statistics.Wiley, New York 1993 MR 1215046 |
| Reference:
|
[3] Csörgő M., Horváth L.: Limit Theorems in Change–point Analysis.Wiley, New York 1997 MR 2743035 |
| Reference:
|
[5] Huber P. J.: Robust Statistics.Wiley, New York 1981 MR 0606374 |
| Reference:
|
[6] Hušková M.: Some sequential procedures based on regression rank scores.Nonparametric Statistics 3 (1994), 285–298 MR 1291550, 10.1080/10485259408832588 |
| Reference:
|
[7] Hušková M.: Limit theorems for $M$-processes via rank statistics processes.In: Advances in Combinatorial Methods with Applications to Probability and Statistics (N. Balakrishnan, ed.), Birkhäuser, Boston 1997, pp. 521–534 Zbl 0933.62040, MR 1456754 |
| Reference:
|
[8] Hušková M.: $L_1$-test procedures for detection of change.In: $L_1$-Statistical Procedures and Related Topics (IMS Lecture Notes–Monograph Series 31), Institute of Mathematical Statistics, Hayward, California 1997, pp. 56–70 Zbl 0935.62052 |
| Reference:
|
[9] Jandhyala V. K., MacNeill I. B.: Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times.Stochastic Process. Appl. 33 (1989), 309–323 Zbl 0679.62056, MR 1030215 |
| Reference:
|
[10] Jurečková J., Sen P. K.: On adaptive scale-equivariant $M$-estimators in linear models.Statist. Decisions. Supplement Issue 1 (1984), 31–41 Zbl 0586.62042 |
| Reference:
|
[11] Jurečková J., Sen P. K.: Regression rank scores scale statistics and studentization in linear models.In: Asymptotic Statistics (M. Hušková and P. Mandl, eds.), Physica–Verlag, Heidelberg 1994, pp. 111–122 MR 1311932 |
| Reference:
|
[12] Ploberger K., Krämer W., Kontrus K.: A new test for structural stability in linear regression model.J. Econometrics 40 (1989), 307–318 MR 0994952, 10.1016/0304-4076(89)90087-0 |
| Reference:
|
[13] Quandt R. E.: Tests of hypothesis that a linear regression systems obeys two separate regimes.J. Amer. Statist. Assoc. 55 (1960), 324–330 MR 0114269, 10.1080/01621459.1960.10482067 |
| Reference:
|
[14] Víšek T.: Detection of Changes in Econometric Models.Ph.D. Dissertation, Charles University, Prague 1999 |
| Reference:
|
[15] Worsley K. J.: Testing for a two-phase multiple regression.Technometrics 25 (1983), 35–42 Zbl 0508.62061, MR 0694210, 10.1080/00401706.1983.10487817 |
| . |
