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

被引：0
|
作者：
Felipe Osorio
Manuel Galea
机构：
[1] Universidad de Valparaíso,Departamento de Estadística
[2] Universidad de Valparaíso,Departamento de Estadística
来源：
Statistical Papers | 2006年 / 47卷
关键词：
Change-point; Student-t model; regression model; Schwarz information criterion;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this work the Schwarz Inforamtion 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：17
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