A change-point problem in relative error-based regression

Zhanfeng Wang ^[1] ; Wenxin Liu ^[1] ; Yuanyuan Lin ^[2]
1. [1] University of Science and Technology of China
  
  University of Science and Technology of China
  
  China
2. [2] Chinese University of Hong Kong
  
  Chinese University of Hong Kong
  
  RAE de Hong Kong (China)
Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 24, Nº. 4, 2015, págs. 835-856
Idioma: inglés
DOI: 10.1007/s11749-015-0438-2
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Resumen
- A nonparametric relative error-based method is proposed to detect and estimate the change point for the multiplicative regression models. The asymptotic distribution of the proposed test statistic for no change-point effect is established. We prove the n-consistency of the proposed estimator of the change point. Simulation studies demonstrate that change-point detection and estimation with relative errors perform reasonably well in many practical situations. Application is illustrated with a financial dataset.