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

^*此作品的通讯作者

Fannie Mae
George Washington University
Tongji University

科研成果: 期刊稿件 › 文章 › 同行评审

21 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	98-103
页数	6
期刊	Statistics and Probability Letters
卷	100
DOI	https://doi.org/10.1016/j.spl.2015.01.031
出版状态	已出版 - 2015
已对外发布	是

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@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.",

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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

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