Testing for changes in polynomial regression
نویسندگان
چکیده
منابع مشابه
Testing for Changes in Polynomial Regression
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value distribution of a maximum–type test statistic which is asymptotically equivalent to the maximally selected likelihood ratio. AMS 2000 Subject Classification: Primar...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2008
ISSN: 1350-7265
DOI: 10.3150/08-bej122