UDC 519.233.5
1 V.M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine
 knopov1@yahoo.com
|
2 Prydniprovska State Academy of Civil Engineering and Architecture, Dnipro, Ukraine
as.korkhin@gmail.com
|
SWITCHING REGRESSION CONSTRUCTION METHOD IN CONTINUOUS
TIME WITH UNKNOWN SWITCHING POINTS
Abstract. Linear switching regression in continuous time is considered.
A method for estimating switching points and regression parameters is described. Examples of its use are given.
Keywords: regression, switching, regression parameters, evaluation.
FULL TEXT
REFERENCES
- Garcia R., Perron P. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics, 1996, Vol. 78, N. 1. P. 111–125.
- Bai J., Perron P. Estimating and testing linear models with multiple structural changes. Econometrica. 1998. Vol. 66, N 1. P. 47–78.
- Knopov P.S. Asymptotic properties of some classes of M-estimates. Kibernetika i sistemnyj analiz. 1997. N 4. P. 10–27.
- Ermoliev Yu.M., Knopov P.S. The method of empirical means in stochastic programming problems. Kibernetika i sistemnyj analiz. 2006. N 6. P. 3–18.
- Dorogovtsev A.Ya. The theory of estimates of the parameters of random processes [in Russian]. Kiev: Vyshcha shkola, 1982. 192 p.
- Pshenichny B.N. Linearization method [in Russian]. Moscow: Nauka, 1983. 136 p.
- Knopov P.S., Korkhin A.S. Regression analysis under a priori parameter restrictions. New York: Springer, 2012. 250 p.
