Estimators for the time of change in linear models

被引：15

作者：

Horvath, L ^{[1
]}

Huskova, M ^{[1
]}

Serbinowska, M ^{[1
]}

机构：

[1] CHARLES UNIV,DEPT STAT,PRAGUE 18600 8,CZECH REPUBLIC

来源：

STATISTICS | 1997年 / 29卷 / 02期

关键词：

change-point; likelihood method; Wiener process;

D O I：

10.1080/02331889708802578

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：

We derive an estimator for the time of change in a linear model when the regression coefficients and the variance may change. The asymptotic distribution of the estimator is computed. The method is used to construct confidence interval for the time of change in gross domestic product in the United States between 1929 and 1967.

引用

页码：109 / 130

页数：22

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