Variance estimation free tests for structural changes in regression

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10434746" target="_blank" >RIV/00216208:11320/18:10434746 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1007/978-3-319-96941-1_24" target="_blank" >https://doi.org/10.1007/978-3-319-96941-1_24</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/978-3-319-96941-1_24" target="_blank" >10.1007/978-3-319-96941-1_24</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Variance estimation free tests for structural changes in regression

Popis výsledku v původním jazyce

A sequence of time-ordered observations possesses a trend, which is possibly subject to change at most once at some unknown time point. The aim is to test whether such an unknown change has occurred or not. The change point methods presented here rely on ratio type test statistics based on maxima of the cumulative sums. These detection procedures for the change in regression are also robustified by considering a general score function. The main advantage of the proposed approach is that the variance of the observations neither has to be known nor estimated. The asymptotic distribution of the test statistic under the no change null hypothesis is derived. Moreover, we prove the consistency of the test under alternatives. The results are illustrated through a simulation study, which demonstrates computational efficiency of the procedures. A practical application to real data is presented as well.

Název v anglickém jazyce

Variance estimation free tests for structural changes in regression

Popis výsledku anglicky

A sequence of time-ordered observations possesses a trend, which is possibly subject to change at most once at some unknown time point. The aim is to test whether such an unknown change has occurred or not. The change point methods presented here rely on ratio type test statistics based on maxima of the cumulative sums. These detection procedures for the change in regression are also robustified by considering a general score function. The main advantage of the proposed approach is that the variance of the observations neither has to be known nor estimated. The asymptotic distribution of the test statistic under the no change null hypothesis is derived. Moreover, we prove the consistency of the test under alternatives. The results are illustrated through a simulation study, which demonstrates computational efficiency of the procedures. A practical application to real data is presented as well.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Springer Proceedings in Mathematics and Statistics

ISBN

978-3-319-96940-4

ISSN

2194-1009

e-ISSN

—

Počet stran výsledku

17

Strana od-do

357-373

Název nakladatele

Springer

Místo vydání

Heidelberg

Místo konání akce

Avignon

Datum konání akce

11. 6. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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