Article ISI SCOPUS
STATISTICAL PAPERS  (2006)

Detection of a change-point in student-t linear regression models

Osorio, F; Galea, M

Abstract

In this work the Schwarz Inforamtion Criterion (SIC) is used in order to locate a change-point in linear regression models with independent errors distributed according to the Student-t distribution. The methodology is applied to data sets from the financial area. © Springer-Verlag 2006.

Más información

Título según WOS: Detection of a change-point in student-t linear regression models
Título según SCOPUS: Detection of a change-point in student-t linear regression models
Título de la Revista: STATISTICAL PAPERS
Volumen: 47
Número: 1
Editorial: Springer
Fecha de publicación: 2006
Página de inicio: 31
Página final: 48
Idioma: English
URL: http://link.springer.com/10.1007/s00362-005-0271-x
DOI:

10.1007/s00362-005-0271-x
Notas: ISI, SCOPUS