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Bootstrapping sequential change-point tests for linear regression

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Author Info

  • Marie Hušková

    ()

  • Claudia Kirch

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00184-011-0347-7
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    Bibliographic Info

    Article provided by Springer in its journal Metrika.

    Volume (Year): 75 (2012)
    Issue (Month): 5 (July)
    Pages: 673-708

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    Handle: RePEc:spr:metrik:v:75:y:2012:i:5:p:673-708

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    Web page: http://www.springerlink.com/link.asp?id=102509

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    Related research

    Keywords: Bootstrap; Sequential test; Change-point analysis; Linear regression;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    2. Alexander Aue & Lajos Horv�th & Marie Hušková & Piotr Kokoszka, 2006. "Change-point monitoring in linear models," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 373-403, November.
    3. Antoch, Jaromír & Husková, Marie, 2001. "Permutation tests in change point analysis," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 37-46, May.
    4. Steland, Ansgar, 2006. "A bootstrap view on dickey-fuller control charts for AR(1) series," Technical Reports 2006,01, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September.
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    Cited by:
    1. Bardet, Jean-Marc & Kengne, William, 2014. "Monitoring procedure for parameter change in causal time series," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 204-221.

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