Sequential change point detection in linear quantile regression models

Mi Zhou; Huixia Judy Wang; Yanlin Tang

doi:10.1016/j.spl.2015.01.031

Sequential change point detection in linear quantile regression models

Mi Zhou
, Huixia Judy Wang^*
, Yanlin Tang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

20 Scopus citations

Abstract

We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

Original language	English
Pages (from-to)	98-103
Number of pages	6
Journal	Statistics and Probability Letters
Volume	100
DOIs	https://doi.org/10.1016/j.spl.2015.01.031
State	Published - 2015
Externally published	Yes

Keywords

Change point detection
Linear regression
Quantile regression
Sequential testing
Structural change

Access to Document

10.1016/j.spl.2015.01.031

Cite this

@article{148db0a34b8c47759b14ba775997482e,

title = "Sequential change point detection in linear quantile regression models",

abstract = "We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.",

keywords = "Change point detection, Linear regression, Quantile regression, Sequential testing, Structural change",

author = "Mi Zhou and Wang, \{Huixia Judy\} and Yanlin Tang",

note = "Publisher Copyright: {\textcopyright} 2015 Elsevier B.V.",

year = "2015",

doi = "10.1016/j.spl.2015.01.031",

language = "英语",

volume = "100",

pages = "98--103",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Sequential change point detection in linear quantile regression models

AU - Zhou, Mi

AU - Wang, Huixia Judy

AU - Tang, Yanlin

PY - 2015

Y1 - 2015

N2 - We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

AB - We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.

KW - Change point detection

KW - Linear regression

KW - Quantile regression

KW - Sequential testing

KW - Structural change

UR - https://www.scopus.com/pages/publications/84923603058

U2 - 10.1016/j.spl.2015.01.031

DO - 10.1016/j.spl.2015.01.031

M3 - 文章

AN - SCOPUS:84923603058

SN - 0167-7152

VL - 100

SP - 98

EP - 103

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Sequential change point detection in linear quantile regression models

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this