کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1151677 1489884 2014 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A linear regression model with persistent level shifts: An alternative to infill asymptotics
ترجمه فارسی عنوان
یک مدل رگرسیون خطی با تغییرات سطح پایدار: یک جایگزین برای رسیدن به ضریب نفوذ
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی

A changepoint in a time series is a time of change in the marginal distribution, autocovariance, or any other distributional structure of the series. Examples include mean level shifts and volatility (variance) changes. Climate data, for example, is replete with mean shift changepoints, occurring whenever a recording instrument is changed or the observing station is moved. Here, we consider the problem of incorporating known changepoint times into a regression model framework. Specifically, we establish consistency and asymptotic normality of ordinary least squares regression estimators that account for an arbitrary number of mean shifts in the record. In a sense, this provides an alternative to the customary infill asymptotics for regression models that assume an asymptotic infinity of data observations between all changepoint times.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 95, December 2014, Pages 118–124
نویسندگان
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