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Change-Point Detection in Two-Phase Regression with Inequality Constraints on the Regression Parameters
Authors:K Nosek
Institution:1. Faculty of Applied Mathematics , AGH University of Science and Technology , Cracow , Poland konosek@agh.edu.pl
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.
Keywords:Change-point  Likelihood based estimator  Likelihood ratio test  Linear regression model with inequality constraints  Two-phase regression
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