Change-points in nonparametric regression analysis (Q1194537)

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Change-points in nonparametric regression analysis
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    Change-points in nonparametric regression analysis (English)
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    27 September 1992
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    Starting with a fixed design regression model \[ y_{i,n}= g(t_{i,n})+ \varepsilon_{i,n},\quad g\in{\mathcal L}^ \ell,\quad t_{i,n}\in [0,1],\qquad 1\leq i\leq n, \] with i.i.d. nonsystematic errors with common finite variance and equidistant design points, a possible changepoint of \(g^{(\nu)}\), \(\nu\geq 0\), is studied at unknown time \(\tau\in (0,1)\). Investigated are the weak convergence of estimators \(\widehat\tau\) of the time of change and rates of global \(L^ p\)-convergence of kernel estimators (adjusted to the estimated changepoint). The main idea in finding estimators \(\widehat\tau\) is to analyse the maximal occurring difference \(\widehat\Delta^{(\nu)}(t)\) of the right- and left-sided regression estimates \(\widehat g^{(\nu)}_ \pm(t)\). These regression estimates are based on one-sided kernel functions. Various kernel functions with asymmetric supports are considered. Weak convergence of the properly standardized estimator \[ \widehat \tau=\inf\left\{\rho\in Q:\;\widehat\Delta^{(\nu)}(\rho) = \sup_{x\in Q} \widehat \Delta^{(\nu)}(x)\right\} \] under certain regularity conditions to a normal random variable is proven. The rate of convergence here exceeds \(n^{-1/2}\) in most cases. Asymptotic \((1-\alpha) 100\%\) confidence intervals are also derived for \(\widehat\tau\) itself as well as for the size of the jump. Next the problem of global \(L^ p\)- consistency of kernel estimators under the presence of a changepoint at unknown time \(\tau\) is discussed. Finally, the methods of the paper are illustrated on the annual volume of the Nile river (1871-1970).
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    discontinuity
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    changepoints of slope
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    higher order curvature
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    kernel smoothers
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    continuous mapping theorem
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    boundary kernel
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    curve fitting
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    endpoint
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    functional limit theorem
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    jump size
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    Nile data
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    L(p)- convergence
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    convergence of kernel estimators
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    fixed design regression model
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    nonsystematic errors
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    common finite variance
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    equidistant design points
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    weak convergence of estimators
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    one-sided kernel functions
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    asymmetric supports
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    confidence intervals
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