A Two-Stage Estimator for Change Point in the Mean of Panel Data

In this paper, a two-stage consistency estimator for change point in the mean of panel data is given. Firstly, a single sequence is extracted, and the initial estimator and confidence interval of the change point are given by the least square method. Based on the confidence interval, a random interv...

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Main Authors:	Wenzhi Zhao, Yinqian Yang, Di Zhang
Format:	Article
Language:	English
Published:	Hindawi Limited 2021-01-01
Series:	Journal of Mathematics
Online Access:	http://dx.doi.org/10.1155/2021/1455812

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spelling	doaj-2c3dc399093e432f94994f9a621a49112021-09-27T00:51:57ZengHindawi LimitedJournal of Mathematics2314-47852021-01-01202110.1155/2021/1455812A Two-Stage Estimator for Change Point in the Mean of Panel DataWenzhi Zhao0Yinqian Yang1Di Zhang2School of ScienceSchool of ScienceSchool of ScienceIn this paper, a two-stage consistency estimator for change point in the mean of panel data is given. Firstly, a single sequence is extracted, and the initial estimator and confidence interval of the change point are given by the least square method. Based on the confidence interval, a random interval containing change point with probability tending to 1 is constructed. Secondly, using all panel data falling into the random interval, the final estimator of change point is obtained by least square estimation. The asymptotic distribution is established. Simulation results show that our method can not only ensure the estimation accuracy but also greatly reduce time complexity.http://dx.doi.org/10.1155/2021/1455812
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Wenzhi Zhao Yinqian Yang Di Zhang
spellingShingle	Wenzhi Zhao Yinqian Yang Di Zhang A Two-Stage Estimator for Change Point in the Mean of Panel Data Journal of Mathematics
author_facet	Wenzhi Zhao Yinqian Yang Di Zhang
author_sort	Wenzhi Zhao
title	A Two-Stage Estimator for Change Point in the Mean of Panel Data
title_short	A Two-Stage Estimator for Change Point in the Mean of Panel Data
title_full	A Two-Stage Estimator for Change Point in the Mean of Panel Data
title_fullStr	A Two-Stage Estimator for Change Point in the Mean of Panel Data
title_full_unstemmed	A Two-Stage Estimator for Change Point in the Mean of Panel Data
title_sort	two-stage estimator for change point in the mean of panel data
publisher	Hindawi Limited
series	Journal of Mathematics
issn	2314-4785
publishDate	2021-01-01
description	In this paper, a two-stage consistency estimator for change point in the mean of panel data is given. Firstly, a single sequence is extracted, and the initial estimator and confidence interval of the change point are given by the least square method. Based on the confidence interval, a random interval containing change point with probability tending to 1 is constructed. Secondly, using all panel data falling into the random interval, the final estimator of change point is obtained by least square estimation. The asymptotic distribution is established. Simulation results show that our method can not only ensure the estimation accuracy but also greatly reduce time complexity.
url	http://dx.doi.org/10.1155/2021/1455812
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A Two-Stage Estimator for Change Point in the Mean of Panel Data

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