Testing for a change lit the regression matrix of a multivariate linear model
- 1 January 1984
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 13 (12) , 1521-1531
- https://doi.org/10.1080/03610928408828775
Abstract
A Bayesian test procedure Is developed to test; the null hypothesis of no change In the regression matrix of a multivariate lin¬ear model against the alternative hypothesis of exactly one change The resulting test is based on the marginal posterior distribution of the change point; To illustrate the test procedure a numerical example using a bivariate regression model is considered.Keywords
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