Optimal Changepoint Tests for Normal Linear Regression

Preprint

preprint

Published in RePEc

Abstract

This paper determines a class of finite sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. Power comparisons of several tests are provided based on simulations.

Keywords

LINEAR MULTIPLE REGRESSION MODEL
OPTIMAL CHANGEPOINT
MULTIPLE REGRESSION
TESTS FOR MULTIPLE
CHANGEPOINT TESTS
LINEAR REGRESSION
NORMAL LINEAR

All Related Versions

Version 1, RePEc

This publication has 0 references indexed in Scilit: