THE LIKELIHOOD RATIO TEST FOR A CHANGE-POINT IN SIMPLE LINEAR-REGRESSION
成果类型：
Article
署名作者：
KIM, HJ; SIEGMUND, D
署名单位：
Syracuse University; Stanford University
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/76.3.409
发表日期：
1989
页码：
409423
关键词：
摘要：
We consider likelihood ratio tests to detect a change-point in simple linear regression (a) when the alternative specifies that only the intercept changes and (b) when the alternative permits the intercept and the slope to change. Approximations for the significance level are obtained under reasonably general assumptions about the empirical distribution of the independent variable. The approximations are compared with simulations in order to assess their accuracy. For the model in which only the intercept is allowed to change, a confidence region for the change-point and an approximate joint confidence region for the change-point, the difference in intercepts, and the slope are obtained by inversion of the appropriate likelihood ratio tests.