Inference in a model with at most one slope-change point


In this paper the problem of slope-change point in linear regression model is discussed with the help of the theory of Gaussian process. The distribution of the estimators of the change point proposed in this paper can be approximated by the first type of extremal distribution. Based on this fact, the detection and interval estimation of a change-point in various situations are discussed.Asymptotic distribution change point detection Gaussian process interval estimate

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Research Papers in Economics

Last time updated on 06/07/2012

This paper was published in Research Papers in Economics.

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