dc.date.accessioned | 2017-09-26T11:04:30Z | |
dc.date.created | 2016-09-25T21:22:45Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Cunen, Celine Marie Løken Hermansen, Gudmund Horn Hjort, Nils Lid . Confidence distributions for change-points and regime shifts. Journal of Statistical Planning and Inference. 2017 | |
dc.identifier.uri | http://hdl.handle.net/10852/58543 | |
dc.description.abstract | Suppose observations y 1 ,...,y n stem from a parametric model f ( y,θ ), with the parameter taking one value θ L for y 1 ,...,y τ and another value θ R for y τ +1 ,...,y n . This article provides and examines two different general strategies for not merely estimating the break point τ but also to complement such an estimate with full confidence distributions, both for the change-point τ and for associated measures of differences between the two levels of θ . The first idea worked with involves testing homogeneity for the two segments to the left and the right of a candidate change-point value at a fine-tuned level of significance. Carrying out such a scheme requires having a goodness-of-fit test for constancy of the θ parameter over a segment of indices, and we also develop classes of such tests. These also have some independent interest. The second general method uses the log-likelihood function, profiled over the other parameters, and we show how this may lead to confidence inference for τ . Our methods are illustrated for four real data stories, with these meeting different types of challenges. | en_US |
dc.language | EN | |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Unported | |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/3.0/ | |
dc.title | Confidence distributions for change-points and regime shifts | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Cunen, Celine Marie Løken | |
dc.creator.author | Hermansen, Gudmund Horn | |
dc.creator.author | Hjort, Nils Lid | |
cristin.unitcode | 185,15,0,0 | |
cristin.unitname | Det matematisk-naturvitenskapelige fakultet | |
cristin.ispublished | false | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1385249 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal of Statistical Planning and Inference&rft.volume=&rft.spage=&rft.date=2017 | |
dc.identifier.jtitle | Journal of Statistical Planning and Inference | |
dc.identifier.volume | 195 | |
dc.identifier.startpage | 14 | |
dc.identifier.endpage | 34 | |
dc.identifier.doi | https://doi.org/10.1016/j.jspi.2017.09.009 | |
dc.identifier.urn | URN:NBN:no-91357 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0378-3758 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/58543/2/celine_gudmund_nils15.pdf | |
dc.type.version | AcceptedVersion | |