Abstract
A non-Gaussian state-space model is proposed to estimate a switching trend from serial data taken at equally spaced intervals. A procedure to detect structural changes in a linear trend is also proposed. The results of a simulation study conducted to check the performance of the detection procedure are shown. A numerical illustration is provided using economic time series data.
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Kashiwagi, N. A state-space approach to polygonal line regression. Ann Inst Stat Math 48, 215–228 (1996). https://doi.org/10.1007/BF00054786
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DOI: https://doi.org/10.1007/BF00054786