Premium
TESTING THE STABILITY OF REGRESSION COEFFICIENTS USING GENERALIZED RECURSIVE RESIDUALS
Author(s) -
Michels Paul,
Trenkler Götz
Publication year - 1990
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1990.tb01025.x
Subject(s) - cusum , linear regression , stability (learning theory) , mathematics , simple (philosophy) , regression , simple linear regression , statistics , regression analysis , constant (computer programming) , computer science , machine learning , philosophy , epistemology , programming language
Summary Simple but flexible methods to detect deviations from the assumption of constant coefficients in linear regression are presented. Based on recursive residuals a runs test is developed as an alternative to CUSUM‐ and MOSUM‐techniques. Finally a simulation study gives insight into the new method.