Title: Detection of change in some special regression models Author: Bc. Petra Exnarová Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Marie Hušková, DrSc. Abstract: Presented thesis deals with testing of change in three special cases of change-point analysis. First of them is case of continuous change in linear regression (so-called broken-line model), the other two are related to change in parameters of discrete value distributions - simple case of Bernoulli distributed variables is studied first and then the approach is generalized for case of Multi- nomial distribution. Both situations of known and unknown change point are described for all three cases. Beside approximation by using limit theorems, the bootstrap method and permutation test are described for all studied cases as well. The comparison of critical values gained by different approaches for the particular tests and small power analysis is done using simulations. Keywords: change-point analysis, broken-line model, discrete distribution, boot- strap, permutation test 1
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:330724 |
| Date | January 2013 |
| Creators | Exnarová, Petra |
| Contributors | Hušková, Marie, Antoch, Jaromír |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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