Testing for a change point in linear regression models

Research output: Contribution to journalArticle

27 Citations (Scopus)

Abstract

In this paper, the Schwarz Information Criterion (SIC) is proposed to locate a change point in the simple linear regression model, as well as in the multiple linear regression model. The method is then applied to a financial data set, and a change point is successfully detected.

Original languageEnglish (US)
Pages (from-to)2481-2493
Number of pages13
JournalCommunications in Statistics - Theory and Methods
Volume27
Issue number10
DOIs
StatePublished - Jan 1 1998
Externally publishedYes

Fingerprint

Change Point
Linear Regression Model
Simple Linear Regression
Testing
Information Criterion
Financial Data
Multiple Linear Regression

Keywords

  • Change point
  • Information criterion
  • Linear regression models

ASJC Scopus subject areas

  • Statistics and Probability

Cite this

Testing for a change point in linear regression models. / Chen, Jie.

In: Communications in Statistics - Theory and Methods, Vol. 27, No. 10, 01.01.1998, p. 2481-2493.

Research output: Contribution to journalArticle

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