On estimation of the change points in multivariate regression models with structural changes

摘要

In this article, we consider the estimation of possibly multiple change points in multivariate regression models with structural changes. A salient feature of the methods is that the dependence structure of the error terms and the regressors can be as weak as that of L-2-Mixingale arrays of size - 1/2. Further, we also provide some numerical simulations and a real data application to illustrate the efficiency of the proposed methods.