A Change-point Problem Based On Relative Error

A change-point problem in multiplicative regression model is investigated based on relative errors method. Firstly, we propose a test statistic to detect the change-point’s existence and obtain its asymptotic distribution under null hypothesis of inexistence. Secondly, we put forward an estimate for change-point while it exists and prove the estimate’s1/n-convergence rate. Thirdly, preferable simulation results are presented. Last, application is illustrated with a financial dataset.