Open Access
August 2008 Testing for changes in polynomial regression
Alexander Aue, Lajos Horváth, Marie Hušková, Piotr Kokoszka
Bernoulli 14(3): 637-660 (August 2008). DOI: 10.3150/08-BEJ122

Abstract

We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value distribution of a maximum-type test statistic which is asymptotically equivalent to the maximally selected likelihood ratio. The resulting test is easy to apply and has good size and power, even in small samples.

Citation

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Alexander Aue. Lajos Horváth. Marie Hušková. Piotr Kokoszka. "Testing for changes in polynomial regression." Bernoulli 14 (3) 637 - 660, August 2008. https://doi.org/10.3150/08-BEJ122

Information

Published: August 2008
First available in Project Euclid: 25 August 2008

zbMATH: 1155.62027
MathSciNet: MR2537806
Digital Object Identifier: 10.3150/08-BEJ122

Keywords: change-point analysis , extreme value asymptotics , Gaussian processes , Legendre polynomials , Linear regression , polynomial regression

Rights: Copyright © 2008 Bernoulli Society for Mathematical Statistics and Probability

Vol.14 • No. 3 • August 2008
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