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Constructing a Switching Regression with Unknown Switching Points

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Abstract

Switching regression is considered in the case where switching points are unknown. A general method is described to estimate switching points and parameters of linear regression with switching. Examples of its use are given.

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Authors and Affiliations

  1. National Mining University, Dnipro, Ukraine

    A. S. Korkhin

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  1. A. S. Korkhin
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Correspondence to A. S. Korkhin.

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Translated from Kibernetika i Sistemnyi Analiz, No. 3, May–June, 2018, pp. 116–130.

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Korkhin, A.S. Constructing a Switching Regression with Unknown Switching Points. Cybern Syst Anal 54, 443–455 (2018). https://doi.org/10.1007/s10559-018-0045-9

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  • DOI: https://doi.org/10.1007/s10559-018-0045-9

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