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This paper is concerned with the application of weighted least square method in change point analysis. Testing shift in the mean normal observations with time varying variances as well as of a GARCH time series are considered. For both cases, the weighted estimators are given and their asymptotic behaviors are studied. It is also described that how the resampling methods like Monte Carlo and bootstrap may be applied to compute the finite sample behavior of estimators.

KEYWORDS

Bootstrap, Brownian Bridge, Change Point, GARCH Series, Testing Shift, Monte Carlo, Weighted Least Square

Cite this paper

R. Habibi -A Note on Change Point Detection Using Weighted Least Square,- Applied Mathematics, Vol. 2 No. 10, 2011, pp. 1309-1312. doi: 10.4236-am.2011.210182.





Autor: Reza Habibi

Fuente: http://www.scirp.org/



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