Detection of a change-point in student-t linear regression models

被引：22
|
作者：
Osorio, F [1 ]
Galea, M [1 ]
机构：
[1] Univ Valparaiso, Dept Estadist, Valparaiso, Chile
来源：
STATISTICAL PAPERS | 2006年 / 47卷 / 01期
关键词：
change-point; Student-t model; regression model; Schwarz information criterion;
D O I：
10.1007/s00362-005-0271-x
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：
In this work the Schwarz Information Criterion (SIC) is used in order to locate a change-point in linear regression models with independent errors distributed according to the Student-t distribution. The methodology is applied to data sets from the financial area.
引用
收藏
页码：31 / 48
页数：18
相关论文
共 50 条
  • [31] Consistent two-stage multiple change-point detection in linear models
    Jin, Baisuo
    Wu, Yuehua
    Shi, Xiaoping
    CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2016, 44 (02): : 161 - 179
  • [32] Change-point detection in hierarchical circadian models
    Moreno-Munoz, Pablo
    Ramirez, David
    Artes-Rodriguez, Antonio
    PATTERN RECOGNITION, 2021, 113
  • [33] Change-point models to estimate the limit of detection
    May, Ryan C.
    Chu, Haitao
    Ibrahim, Joseph G.
    Hudgens, Michael G.
    Lees, Abigail C.
    Margolis, David M.
    STATISTICS IN MEDICINE, 2013, 32 (28) : 4995 - 5007
  • [34] Change-point detection with non-parametric regression
    Horváth, L
    Kokoszka, P
    STATISTICS, 2002, 36 (01) : 9 - 31
  • [35] Bayesian inference in generalized error and generalized student-t regression models
    Tsionas, Efthymios G.
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2008, 37 (03) : 388 - 407
  • [36] Change-Point Estimation in High Dimensional Linear Regression Models via Sparse Group Lasso
    Zhang, Bingwen
    Geng, Jun
    Lai, Lifeng
    2015 53RD ANNUAL ALLERTON CONFERENCE ON COMMUNICATION, CONTROL, AND COMPUTING (ALLERTON), 2015, : 815 - 821
  • [37] Robust Fuzzy Clustering Algorithms for Change-Point Regression Models
    Lu, Kang-Ping
    Chang, Shao-Tung
    INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS, 2020, 28 (05) : 701 - 725
  • [38] Change-point detection in the marginal distribution of a linear process
    El Ktaibi, Farid
    Ivanoff, B. Gail
    ELECTRONIC JOURNAL OF STATISTICS, 2016, 10 (02): : 3945 - 3985
  • [39] Posterior property of Student-t linear regression model using objective priors
    Wang, Min
    Yang, Mingan
    STATISTICS & PROBABILITY LETTERS, 2016, 113 : 23 - 29
  • [40] Change-point detection in a shape-restricted regression model
    Nosek, Konrad
    Szkutnik, Zbigniew
    STATISTICS, 2014, 48 (03) : 641 - 656
12345