Change-Point Detection in Two-Phase Regression with Inequality Constraints on the Regression Parameters |
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Authors: | K Nosek |
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Institution: | 1. Faculty of Applied Mathematics , AGH University of Science and Technology , Cracow , Poland konosek@agh.edu.pl |
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Abstract: | Two-phase regression models with inequality constraints on the regression coefficients and with a small number of measurements is considered. A new test based on the likelihood ratio in linear model with inequality constraints for the presence of a change-point is proposed. Numerical approximations to the powers against various alternatives are given and compared with the powers of the likelihood ratio test in the two-phase regression models without inequality constraints, the backwards CUSUM test, and the k-linear-r-ahead recursive residuals tests. Performance of related likelihood based estimators of the change-point is briefly studied in a Monte Carlo experiment. |
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Keywords: | Change-point Likelihood based estimator Likelihood ratio test Linear regression model with inequality constraints Two-phase regression |
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