Approximations to the p-values of tests for a change-point under non-standard conditions

DC FieldValueLanguage
dc.contributor.authorKelly, Gabrielle E.
dc.date.accessioned2015-09-14T09:59:53Z
dc.date.available2016-08-03T01:00:11Z
dc.date.copyright2015 Taylor and Francisen
dc.date.issued2016
dc.identifier.citationJournal of Statistical Computation and Simulationen
dc.identifier.urihttp://hdl.handle.net/10197/7010
dc.description.abstractThree test statistics for a change-point in a linear model, variants of those considered by Andrews and Ploberger [Optimal tests when a nusiance parameter is present only under the alternative. Econometrica. 1994;62:1383–1414]: the sup-likelihood ratio (LR) statistic; a weighted average of the exponential of LR-statistics and a weighted average of LR-statistics, are studied. Critical values for the statistics with time trend regressors, obtained via simulation, are found to vary considerably, depending on conditions on the error terms. The performance of the bootstrap in approximating p-values of the distributions is assessed in a simulation study. A sample approximation to asymptotic analytical expressions extending those of Kim and Siegmund [The likelihood ratio test for a change-point in simple linear regression. Biometrika. 1989;76:409–423] in the case of the sup-LR test is also assessed. The approximations and bootstrap are applied to the Quandt data [The estimation of a parameter of a linear regression system obeying two separate regimes. J Amer Statist Assoc. 1958;53:873–880] and real data concerning a change-point in oxygen uptake during incremental exercise testing and the bootstrap gives reasonable results.en
dc.description.sponsorshipScience Foundation Irelanden
dc.language.isoenen
dc.publisherTaylor and Francisen
dc.rightsThis is an electronic version of an article published in Journal of Statistical Computation and Simulation, 86 (7): 1430-1449 (2015). Journal of Statistical Computation and Simulation is available online at: www.tandfonline.com/doi/abs/10.1080/00949655.2015.1069826en
dc.subjectChange-pointen
dc.subjectRegressionen
dc.subjectLikelihood ratio testen
dc.subjectLagrange multiplier testen
dc.subjectSup-F testen
dc.subjectTime trend regressoren
dc.subjectCorrelated errorsen
dc.subjectHeteroskedastic errorsen
dc.subjectSimulationen
dc.subjectBootstrapen
dc.titleApproximations to the p-values of tests for a change-point under non-standard conditionsen
dc.typeJournal Articleen
dc.internal.authorcontactothergabrielle.kelly@ucd.ie
dc.statusPeer revieweden
dc.identifier.volume86
dc.identifier.issue7
dc.identifier.startpage1430
dc.identifier.endpage1449
dc.identifier.doi10.1080/00949655.2015.1069826-
dc.neeo.contributorKelly|Gabrielle E.|aut|-
dc.internal.rmsid515808577
dc.date.updated2015-08-24T11:27:43Z
dc.rights.licensehttps://creativecommons.org/licenses/by-nc-nd/3.0/ie/en
item.grantfulltextopen-
item.fulltextWith Fulltext-
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