Bootstrapping sequential change-point tests for linear regression

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125079" target="_blank" >RIV/00216208:11320/12:10125079 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s00184-011-0347-7" target="_blank" >http://dx.doi.org/10.1007/s00184-011-0347-7</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00184-011-0347-7" target="_blank" >10.1007/s00184-011-0347-7</a>

Result language
angličtina
Original language name
Bootstrapping sequential change-point tests for linear regression
Original language description
Bootstrap methods for sequential change-point detection procedures in linear regression models are proposed. The corresponding monitoring procedures are designed to control the overall significance level. The bootstrap critical values are updated constantly by including new observations obtained from the monitoring. The theoretical properties of these sequential bootstrap procedures are investigated, showing their asymptotic validity. Bootstrap and asymptotic methods are compared in a simulation study,showing that the studentized bootstrap tests hold the overall level better especially for small historic sample sizes while having a comparable power and run length.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
—

Project
<a href="/en/project/GC201%2F09%2FJ006" target="_blank" >GC201/09/J006: Structural Breaks in Time Series</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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