Limit theorems for change in linear regression

We consider some tests to detect a change-point in a multiple linear regression model. The tests are based on the maxima of the weighted cumulative sums processes. The limit distributions may be double exponential or maxima of Gaussian processes depending on the set where the maximum of the weighted cumulative sums of residuals is taken. The design-points can be fixed or random. We also give a few applications of our results.

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Year of publication:	1994
Authors:	Gombay, Edit ; Horváth, Lajos
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 48.1994, 1, p. 43-69
Publisher:	Elsevier
Keywords:	linear model change-point strong approximation Wiener process Ornstein-Uhlenbeck process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153092