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Description
  • Procedures detecting a change of regression parameters in a linear model are considered when both the regressors and errors are weakly dependent in the sense of L-p-m-approximability. M-estimators and weighted M-residuals are used to construct test statistics, and their asymptotic distribution is studied under the null hypothesis of no change and under contiguous alternatives. Estimators of a long-run variance are also considered and studied both analytically and numerically.
  • Procedures detecting a change of regression parameters in a linear model are considered when both the regressors and errors are weakly dependent in the sense of L-p-m-approximability. M-estimators and weighted M-residuals are used to construct test statistics, and their asymptotic distribution is studied under the null hypothesis of no change and under contiguous alternatives. Estimators of a long-run variance are also considered and studied both analytically and numerically. (en)
Title
  • M-procedures for detection of a change under weak dependence
  • M-procedures for detection of a change under weak dependence (en)
skos:prefLabel
  • M-procedures for detection of a change under weak dependence
  • M-procedures for detection of a change under weak dependence (en)
skos:notation
  • RIV/00216208:11320/14:10283141!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita
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  • I, P(GBP402/12/G097)
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  • June
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  • 30880
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  • RIV/00216208:11320/14:10283141
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  • M-estimators; L-p-m-approximability; Change-point detection (en)
http://linked.open.../riv/klicoveSlovo
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  • NL - Nizozemsko
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  • [CFAE7D90B0ED]
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  • Journal of Statistical Planning and Inference
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  • 149
http://linked.open...iv/tvurceVysledku
  • Prášková, Zuzana
  • Chochola, Ondřej
http://linked.open...ain/vavai/riv/wos
  • 000336705800008
issn
  • 0378-3758
number of pages
http://bibframe.org/vocab/doi
  • 10.1016/j.jspi.2014.01.006
http://localhost/t...ganizacniJednotka
  • 11320
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