Testing for a change lit the regression matrix of a multivariate linear model

Abstract

A Bayesian test procedure Is developed to test; the null hypothesis of no change In the regression matrix of a multivariate lin¬ear model against the alternative hypothesis of exactly one change The resulting test is based on the marginal posterior distribution of the change point; To illustrate the test procedure a numerical example using a bivariate regression model is considered.

Keywords:

• multivariate linear model
• posterior distribution of ohift point
• detecting change in regression matrix