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A Non-Parametric Test for a Change-Point in Linear Profile Data

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Bischoff, Wolfgang ; Gegg, Andreas:
A Non-Parametric Test for a Change-Point in Linear Profile Data.
In: Journal of applied quantitative methods : JAQM. 5 (2010) 3. - S. 516-524.
ISSN 1842-4562

Volltext

Link zum Volltext (externe URL): http://jaqm.ro/issues/volume-5,issue-3/pdfs/bischo...

Kurzfassung/Abstract

We propose a change-point approach for testing the constancy of regression parameters in a linear profile data set (panel data in econometrics). Each sample collected over time in the historical data set consists of several multivariate observations for which a linear regression model is appropriate. The question now is whether all of the profiles follow a linear regression model with the same parameter vector or whether a change occurred in one or more model parameters after a special sample. We use the partial sum operator in several dimensions to test the null hypothesis "H0: no change-point occurred" and propose a non-parametric size ?-test. In Bischoff and Gegg (2010) we compared our proposed method with the likelihood-ratio-test by Mahmoud et al. (2007) in a simulation study. By these simulations we could show that our procedure can, in contrast to the likelihood-ratio-test, even be applied to the non-normal case. In this paper, however, we show how to compute our proposed test statistic step-by-step by considering an artificial data set.

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Publikationsform:Artikel
Schlagwörter:change-point problem, panel data, statistical process control, linear regression
Institutionen der Universität:Mathematisch-Geographische Fakultät > Mathematik > Lehrstuhl für Mathematik - Statistik und Stochastik
Peer-Review-Journal:Ja
Titel an der KU entstanden:Ja
Eingestellt am:10. Mär 2011 15:14
Letzte Änderung:04. Mai 2011 13:24
URL zu dieser Anzeige:http://edoc.ku-eichstaett.de/6655/