The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
Abstract
Abstract. This paper considers a mean shift with an unknown shift point in a linear process and estimates the unknown shift point (change point) by the method of least squares. Pre‐shift and post‐shift means are estimated concurrently with the change point. The consistency and the rate of convergence for the estimated change point are established. The asymptotic distribution for the change point estimator is obtained when the magnitude of shift is small. It is shown that serial correlation affects the variance of the change point estimator via the sum of the coefficients of the linear process. When the underlying process is autoregressive moving average, a mean shift causes overestimation of its order. A simple procedure is suggested to mitigate the bias in order estimation.
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Citations
Cites
A new look at the statistical model identification
Akaike, H. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100705 · Cited by 51,879
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Cited by
Structural breaks with deterministic and stochastic trends
Perron, P., & Zhu, X. (2005) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.09.004 · Cited by 225
Metadata
- Authors
- Bai, J.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 1994-09
- Volume
- 15
- Issue
- 5
- Pages
- 453-472
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W1587806953
- Cited by
- 492
- References
- 2
- FWCI
- 5.77
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. https://app.cochat.ai/papers/10.1111/j.1467-9892.1994.tb00204.x
- The paper
- Bai, J. (1994). LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. Journal of Time Series Analysis. https://doi.org/10.1111/j.1467-9892.1994.tb00204.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
