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Variance estimation free tests for structural changes in regression
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SYSNO ASEP 0483701 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Variance estimation free tests for structural changes in regression Tvůrce(i) Peštová, Barbora (UIVT-O) RID, SAI
Pešta, M. (CZ)Zdroj.dok. Nonparametric Statistics : 3rd ISNPS, Avignon, France, June 2016. - Cham : Springer, 2018 / Bertail P. ; Blanke D. ; Cornillon P. ; Matzner-Lober E. - ISSN 2194-1009 - ISBN 978-3-319-96941-1 Rozsah stran february, s. 357-373 Poč.str. 17 s. Forma vydání Tištěná - P Akce ISNPS 2016. Conference of the International Society for Non-Parametric Statistics /3./ Datum konání 11.06.2016 - 16.06.2016 Místo konání Avignon Země FR - Francie Typ akce WRD Jazyk dok. eng - angličtina Země vyd. CH - Švýcarsko Klíč. slova change point ; structural change ; change in regression ; hypothesis testing ; ratio type statistics ; robustness ; variance estimation free test Vědní obor RIV BA - Obecná matematika Obor OECD Statistics and probability Institucionální podpora UIVT-O - RVO:67985807 EID SCOPUS 85070003556 DOI 10.1007/978-3-319-96941-1_24 Anotace A sequence of time-ordered observations possesses a trend, which is possibly subject to change at most once at some unknown time point. The aim is to test whether such an unknown change has occurred or not. The change point methods presented here rely on ratio type test statistics based on maxima of the cumulative sums. These detection procedures for the change in regression are also robustified by considering a general score function. The main advantage of the proposed approach is that the variance of the observations neither has to be known nor estimated. The asymptotic distribution of the test statistic under the no change null hypothesis is derived. Moreover, we prove the consistency of the test under alternatives. The results are illustrated through a simulation study, which demonstrates computational efficiency of the procedures. A practical application to real data is presented as well. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2020
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