Statistical Papers

, 47:31 | Cite as

Detection of a change-point in student-t linear regression models

  • Felipe Osorio
  • Manuel Galea
Articles

Abstract

In this work the Schwarz Inforamtion Criterion (SIC) is used in order to locate a change-point in linear regression models with independent errors distributed according to the Student-t distribution. The methodology is applied to data sets from the financial area.

Key words

Change-point Student-t model regression model Schwarz information criterion 

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Copyright information

© Springer-Verlag 2005

Authors and Affiliations

  • Felipe Osorio
    • 1
  • Manuel Galea
    • 2
  1. 1.Departamento de EstadísticaUniversidad de ValparaísoChile
  2. 2.Departamento de EstadísticaUniversidad de ValparaísoValparaísoChile

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