Some invariant test procedures for detection of structural changes; behavior under alternatives

Marie Hušková

Kybernetika (2001)

  • Volume: 37, Issue: 6, page [669]-684
  • ISSN: 0023-5954

Abstract

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Regression- and scale-invariant M -test procedures for detection of structural changes in linear regression model was developed and their limit behavior under the null hypothesis was studied in Hušková [9]. In the present paper the limit behavior under local alternatives is studied. More precisely, it is shown that under local alternatives the considered test statistics have asymptotically normal distribution.

How to cite

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Hušková, Marie. "Some invariant test procedures for detection of structural changes; behavior under alternatives." Kybernetika 37.6 (2001): [669]-684. <http://eudml.org/doc/33558>.

@article{Hušková2001,
abstract = {Regression- and scale-invariant $M$-test procedures for detection of structural changes in linear regression model was developed and their limit behavior under the null hypothesis was studied in Hušková [9]. In the present paper the limit behavior under local alternatives is studied. More precisely, it is shown that under local alternatives the considered test statistics have asymptotically normal distribution.},
author = {Hušková, Marie},
journal = {Kybernetika},
keywords = {linear regression; $M$-test procedure; asymptotics; linear regression; -test procedure; asymptotics},
language = {eng},
number = {6},
pages = {[669]-684},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Some invariant test procedures for detection of structural changes; behavior under alternatives},
url = {http://eudml.org/doc/33558},
volume = {37},
year = {2001},
}

TY - JOUR
AU - Hušková, Marie
TI - Some invariant test procedures for detection of structural changes; behavior under alternatives
JO - Kybernetika
PY - 2001
PB - Institute of Information Theory and Automation AS CR
VL - 37
IS - 6
SP - [669]
EP - 684
AB - Regression- and scale-invariant $M$-test procedures for detection of structural changes in linear regression model was developed and their limit behavior under the null hypothesis was studied in Hušková [9]. In the present paper the limit behavior under local alternatives is studied. More precisely, it is shown that under local alternatives the considered test statistics have asymptotically normal distribution.
LA - eng
KW - linear regression; $M$-test procedure; asymptotics; linear regression; -test procedure; asymptotics
UR - http://eudml.org/doc/33558
ER -

References

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  8. Hušková M., L 1 -test procedures for detection of change, In: -Statistical Procedures and Related Topics (IMS Lecture Notes – Monograph Ser. 31), Institute of Mathematical Statistics, Beachwood 1997, pp. 56–70 (1997) Zbl0935.62052
  9. Hušková M., Some invariant test procedures for detection of structural changes, Kybernetika 36 (2000), 401–414 MR1830646
  10. Jandhyala V. K., MacNeill I. B., 10.1016/0304-4149(89)90045-8, Stoch. Process. Appl. 33 (1989), 309–323 (1989) Zbl0679.62056MR1030215DOI10.1016/0304-4149(89)90045-8
  11. Jurečková J., Sen P. K., On adaptive scale-equivariant M -estimators in linear models, Statist. Decisions, Suplement Issue 1 (1984), 31–41 (1984) Zbl0586.62042MR0785200
  12. Jurečková J., Sen P. K., Regression rank scores scale statistics and studentization in linear models, In: Asymptotic Statistics (M. Hušková and P. Mandl, eds.), Physica–Verlag, Heidelberg, 1994, pp. 111–122 (1994) MR1311932
  13. Ploberger W., Krämer, W., Kontrus K., 10.1016/0304-4076(89)90087-0, J. Econometrics 40 (1989), 307–318 (1989) MR0994952DOI10.1016/0304-4076(89)90087-0
  14. Quandt R. E., 10.1080/01621459.1960.10482067, J. Amer. Statist. Assoc. 55 (1960), 324–330 (1960) MR0114269DOI10.1080/01621459.1960.10482067
  15. Víšek T., Detection of Changes in Econometric Models, Ph.D. Dissertation. Charles University, Prague 1999 
  16. Worsley K. J., 10.1080/00401706.1983.10487817, Technometrics 25 (1983), 35–42 (1983) Zbl0508.62061MR0694210DOI10.1080/00401706.1983.10487817

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