Change Point Estimation in Regression Models with Fixed Design

被引：2

作者：

Doering, Maik ^{[1
]}

Jensen, Uwe ^{[1
]}

机构：

[1] Univ Hohenheim, Inst Angew Math & Stat, D-70599 Stuttgart, Germany

来源：

MATHEMATICAL AND STATISTICAL MODELS AND METHODS IN RELIABILITY: APPLICATIONS TO MEDICINE, FINANCE, AND QUALITY CONTROL | 2010年

关键词：

Regression; Change-points; M-estimates; Rate of Consistency;

D O I：

10.1007/978-0-8176-4971-5_15

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we consider a. simple regression model with change points in the regression function which can be one of two types: A so called smooth bent-line change point or a discontinuity point of a regression function. In both cases we investigate the consistency of the M-estimates of the change points. It turns out that the rates of convergence are n(1/2) or n, respectively, where n denotes the sample size in a. axed design. In addition, the asymptotic distributions of the change point estimators are investigated.

引用

页码：207 / 221

页数：15

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