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Simple linear regression with multiple level shifts

✍ Scribed by Qiqi Lu; Robert B. Lund

Book ID
102803695
Publisher
John Wiley and Sons
Year
2007
Tongue
French
Weight
636 KB
Volume
35
Category
Article
ISSN
0319-5724

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✦ Synopsis

Abstract

The authors study the properties of the ordinary least squares trend estimator in a simple linear regression model with multiple known level shift times. The error component in the model is taken to be a general short‐memory stationary time series. The authors establish the consistency and asymptotic normality of the estimator. They also present a climatological application in which the multiple level shifts are prominent features.

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