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
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