On estimation of the change points in multivariate regression models with structural changes
On estimation of the change points in multivariate regression models with structural changes
复制标题
具有结构变化的多元回归模型中变点的估计
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
S. Nkurunziza
中科院分区：
文献类型：
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作者：
Fuqi Chen;S. Nkurunziza
摘要本文研究了具有结构变化的多元回归模型中可能存在的多个变点的估计问题。该方法的一个显著特点是误差项和回归量的依赖结构可以像大小为− 1/2的混合数组一样弱。此外，我们还提供了一些数值模拟和一个真实的数据应用程序来说明所提出的方法的效率。
ABSTRACT In this article, we consider the estimation of possibly multiple change points in multivariate regression models with structural changes. A salient feature of the methods is that the dependence structure of the error terms and the regressors can be as weak as that of -Mixingale arrays of size − 1/2. Further, we also provide some numerical simulations and a real data application to illustrate the efficiency of the proposed methods.