Translator Disclaimer
August 1996 Change point estimation using nonparametric regression
Clive R. Loader
Ann. Statist. 24(4): 1667-1678 (August 1996). DOI: 10.1214/aos/1032298290

Abstract

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.

Citation

Download Citation

Clive R. Loader. "Change point estimation using nonparametric regression." Ann. Statist. 24 (4) 1667 - 1678, August 1996. https://doi.org/10.1214/aos/1032298290

Information

Published: August 1996
First available in Project Euclid: 17 September 2002

zbMATH: 0867.62033
MathSciNet: MR1416655
Digital Object Identifier: 10.1214/aos/1032298290

Subjects:
Primary: 62G07

Rights: Copyright © 1996 Institute of Mathematical Statistics

JOURNAL ARTICLE
12 PAGES


SHARE
Vol.24 • No. 4 • August 1996
Back to Top