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Schwarz information criterion based tests for a change-point in regression models

โœ Scribed by Konrad Nosek


Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
184 KB
Volume
51
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