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A state-space approach to polygonal line regression

โœ Scribed by Nobuhisa Kashiwagi

Publisher
Springer Japan
Year
1996
Tongue
English
Weight
631 KB
Volume
48
Category
Article
ISSN
0020-3157

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โœฆ Synopsis

A non-Gaussian state-space model is proposed to estimate a switching trend from serial data taken at equally spaced intervals. A procedure to detect structural changes in a linear trend is also proposed. The results of a simulation study conducted to check the performance of the detection procedure are shown. A numerical illustration is provided using economic time series data.

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