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Detekce změn v lineárních modelech a bootstrap / Detekce změn v lineárních modelech a bootstrap

This thesis discusses the changes in parameters of linear models and methods of their detection. It begins with a short introduction of the two basic types of change point detection procedures and bootstrap algorithms developed specifically to deal with dependent data. In the following chapter we focus on the location model - the simplest example of a linear model with a change in parameters. On this model we will illustrate a way of long-run variance estimation and implementation of selected bootstrap procedures. In the last chapter we show how to extend the applied methods to linear models with a change in parameters. We will compare the performance of change point tests based on asymptotic and bootstrap critical values through simulation studies in both our considered methods. The performance of selected long-run variance estimator will also be examined both for situations when the change in parameters occurs and when it does not. 1

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:347962
Date January 2016
CreatorsČellár, Matúš
ContributorsPrášková, Zuzana, Hušková, Marie
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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