Acta mathematica scientia,Series A ›› 2021, Vol. 41 ›› Issue (4): 1124-1134.

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Research on Change-Point Detection for Parameters in Regression Model

Jinhui Zheng1(),Jinghu Yu1,*(),Yiming Ding1(),Zeyu Bao2()   

  1. 1 School of Science, Wuhan University of Technology, Wuhan 430070
    2 Junior Class College, University of Science and Technology of China, Hefei 230026
  • Received:2020-11-02 Online:2021-08-26 Published:2021-08-09
  • Contact: Jinghu Yu E-mail:zhengjh@whut.edu.cn;yujh67@126.com;dingym@whut.edu.cn;windy888@mail.ustc.edu.cn

Abstract:

This paper constructs a method to detect the change point of regression model parameters based on the non-stationary measurement index (NS). Under the premise of selecting the appropriate parameter estimation method and window size, the residual sequence of the sample in the window and the corresponding NS value are calculated by judging the stationarity of the residual sequence within the window to achieve the purpose of change point detection. A series of two-segment regression models are constructed for experimental verification. The results show that this method can effectively detect the position of the change point of the two-segment regression model. The experimental results of comparison with other methods also show that the method is more accurate in the detection of regression model parameter change points.

Key words: Regression model, Change point detection, Non-stationary measure

CLC Number: 

  • O212
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