Testing for a change point in linear regression models

被引：43

作者：

Chen, J ^{[1
]}

机构：

[1] Univ Missouri, Dept Math & Stat, Kansas City, MO 64110 USA

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1998年 / 27卷 / 10期

关键词：

information criterion; change point; linear regression models;

D O I：

10.1080/03610929808832238

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, the Schwarz Information Criterion (SIC) is proposed to locate a change point in the simple linear regression model, as well as in the multiple linear regression model. The method is then applied to a financial data set, and a change point is successfully detected.

引用

页码：2481 / 2493

页数：13

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