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Cybernetics And Systems Analysis
International Theoretical Science Journal
UDC 519.233.5
A.S. Korkhin1


1 Prydniprovska State Academy of Civil Engineering and Architecture, Dnipro, Ukraine

a.s.korkhin@gmail.com

AN APPROXIMATE METHOD OF CONSTRUCTING A SWITCHING REGRESSION
WITH UNKNOWN SWITCHING POINTS

Abstract. The method is applicable to regressions whose variables are time series. The estimation method is based on the fact that these series are considered as observed values of continuous random functions of time. This property makes it possible to solve the estimation problem using gradient methods for optimization problems. Examples of using the proposed method are given.

Keywords: regression, switching points, regression parameters, continuous time, discrete time, estimation.



FULL TEXT

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