Change point estimation using nonparametric regression

• 成果类型: Article
• 署名作者: Loader, CR
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1996
• 页码: 1667-1678
• 关键词: LINEAR-REGRESSION

摘要

We consider a regression model in which the mean function may have a discontinuity at an unknown point. We propose an estimate of the location of the discontinuity based on one-side nonparametric regression estimates of the mean function. The change point estimate is shown to converge in probability at rate O(n(-1)) and to have the same asymptotic distribution as maximum Likelihood estimates considered by other authors under parametric regression models. Confidence regions for the location and size of the change are also discussed.