The Annals of Statistics

Change point estimation using nonparametric regression

Clive R. Loader

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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.

Article information

Ann. Statist. Volume 24, Number 4 (1996), 1667-1678.

First available in Project Euclid: 17 September 2002

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Zentralblatt MATH identifier

Primary: 62G07: Density estimation

Boundary crossing change point nonparametric regression


Loader, Clive R. Change point estimation using nonparametric regression. Ann. Statist. 24 (1996), no. 4, 1667--1678. doi:10.1214/aos/1032298290.

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