Asymptotic Efficient Estimation of the Change Point in Time Series Regression Models

• Material Type: 文書・図像類
• Title: Asymptotic Efficient Estimation of the Change Point in Time Series Regression Models
• Author/Editor: 塩浜, 敬之
• Author Heading: 塩浜, 敬之 シオハマ, タカユキ
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2004-03
• Publication Date (W3CDTF): 2004-03
• Contributor: 世代間問題研究プロジェクト（世代間利害調整） = Setting Options for Fair Distribution of Well-being among Different Generations, Project on Intergenerational Equity
• Text Language Code: eng
• Subject Heading: Time series regression; change point; quasi maximum likelihood estimator; quasi Byes estimator; asymptotic efficiency; Whittle likelihood
• Target Audience: 一般
• Note (General): March 19, 2004; 科学研究費補助金（特定領域研究） = Grant-in-Aid for Scientific Research on Priority Areas
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/14321/pie_dp209.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; http://www.ier.hit-u.ac.jp/pie/stage1/Japanese/top.html
• Periodical Title: Discussion Paper ; No. 209
• Periodical Title (NCID): AA11851730; https://ci.nii.ac.jp/ncid/AA11851730
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: This paper discusses the problem of estimating unknown change point in the trend function of a time series regression model. The error process consid...