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Detection of a change-point in student-t linear regression models

โœ Scribed by Felipe Osorio; Manuel Galea


Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
719 KB
Volume
47
Category
Article
ISSN
0932-5026

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Our concern in this paper is a detection of a change in regression coefficients of a linear model. First, we examine the null and alternative distributions of the likelihood ratio statistic and study its asymptotic behavior. We then propose analytic approximations for the \(p\)-value and power of th