淡江大學機構典藏:Item 987654321/65007
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    题名: Inferences for the Linear Errors-in-Variables with Changepoint Models
    作者: Chang, Y. P.;Huang, W. T.
    贡献者: 淡江大學經營決策學系
    关键词: Asymptotic distribution;Asymptotic efficiency;Consistency;Likelihood ratio test
    日期: 1997-01-01
    上传时间: 2011-10-20 16:21:33 (UTC+8)
    摘要: A new linear structural errors-in-variables regression with changepoint model is considered. In this model we consider the likelihood ratio test based on the maximum Hotelling T 2 for the test of no change against the alternative of exactly one change. If there is a change, either known a priori or by testing, then we estimate the unknown changepoint parameter and some other related parameters by maximum likelihood. The limiting distribution of the changepoint estimator is investigated and it is shown that the asymptotic efficiency increases as the absolute regression slope coefficient increases. A Monte Carlo study shows that the proposed estimator performs satisfactorily.
    關聯: Journal of the American Statistical Association92(437), pp.171-178
    DOI: 10.1080/01621459.1997.10473614
    显示于类别:[管理科學學系暨研究所] 期刊論文

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