Continuous-Time Switching Regression Method with Unknown Switching Points

Linear regression with switching in continuous time is considered. A method for estimation of switching points and switching regression parameters is described. Examples of its use are given.

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Veröffentlicht in:Cybernetics and systems analysis 2020, Vol.56 (1), p.68-80
Hauptverfasser: Knopov, P. S., Korkhin, A. S.
Format: Artikel
Sprache:eng
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Zusammenfassung:Linear regression with switching in continuous time is considered. A method for estimation of switching points and switching regression parameters is described. Examples of its use are given.
ISSN:1060-0396
1573-8337
DOI:10.1007/s10559-020-00222-z