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Chapitre d'ouvrage

Change-points in parametric regressions

Abstract : This chapter studies regression models for a real variable with change of the parameters at unknown thresholds of the regressors or at an unknown sampling index. We first consider a linear regression and its empirical estimators with the least squares estimators of the change-point then the maximum likelihood estimators of parametric models. The convergence rates of the estimators are established. Least squares and likelihood ratio tests for the hypothesis of a constant mean are de fined accordingly, the weak convergence of the estimators and the test statistics under the hypothesis and alternatives are proved.
Type de document :
Chapitre d'ouvrage
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https://hal.inrae.fr/hal-02928044
Déposant : Migration Prodinra <>
Soumis le : mercredi 2 septembre 2020 - 11:25:08
Dernière modification le : jeudi 3 septembre 2020 - 04:42:54

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  • HAL Id : hal-02928044, version 1
  • PRODINRA : 468660
  • WOS : 000459103100005

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Citation

Odile Pons. Change-points in parametric regressions. Estimations And Tests In Change-Point Models, WORLD SCIENTIFIC PUBL CO PTE LTD, pp.40, 2018, 978-981-3231-77-1; 978-981-3231-76-4. ⟨hal-02928044⟩

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