TESTS FOR PARAMETER CHANGES AT UNKNOWN TIMES IN LINEAR-REGRESSION MODELS

被引：40

作者：

JANDHYALA, VK

MACNEILL, IB

机构：

[1] WASHINGTON STATE UNIV,DEPT PURE & APPL MATH,PULLMAN,WA 99164

[2] UNIV WESTERN ONTARIO,DEPT STAT & ACTUARIAL SCI,LONDON N6A 5B9,ONTARIO,CANADA

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1991年 / 27卷 / 03期

关键词：

CHANGE-POINT PROBLEM; LINEAR REGRESSION; STOCHASTIC INTEGRALS;

D O I：

10.1016/0378-3758(91)90043-E

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：

Statistics are derived for tests of changes at unknown times in the parameters of a general linear regression model. Asymptotic distribution theory for the tests is discussed. Simulations are carried out to compare power of the statistics derived in this paper with that of other statistics. The derived statistics are shown to have good power properties as compared to other statistics, particularly for the difficult problem of detecting small changes. The change-point methodology is then applied to data on the incidence of AIDS in the United States.

引用

页码：291 / 316

页数：26

共 15 条

[1]

BROEMELING LD, 1984, COMM STATIST A, V13, P1521

[2]

BROWN RL, 1975, J ROY STAT SOC B MET, V37, P149

[3] ESTIMATING CURRENT MEAN OF NORMAL-DISTRIBUTION WHICH IS SUBJECTED TO CHANGES IN TIME [J].