Local linear kernel estimation for discontinuous nonparametric regression functions

DOI10.1080/03610929808832261MaRDI QIDQ4246294zbMATH OpenOpenAlexFDO

Authors Jiti Gao, A. N. Pettitt, R. C. Wolff

Publication date 16 August 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832261

zbMATH Keywords

change-pointintegrated squared errorlocal linear kernel smoothing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Review text

The authors consider the nonparametric regression model with fixed design and assume that the regression function has a change-point. They apply the method of local linear kernel smoothing to construct estimates for the location of the jump point and the size of the jump. Based on results on the asymptotic behavior of these estimates the asymptotic normality of the integrated squared error (ISE) of the corresponding regression estimate is derived. Moreover, it is shown that the rate of convergence of the ISE of the local linear estimator is better than that of the Nadaraya-Watson and the Gasser--Müller estimators.

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Cited in

(17)

• Change point estimation using nonparametric regression
• Change point estimation by local linear smoothing
• Kernel estimation of discontinuous regression functions
• A new estimator of a jump discontinuity in regression
• On study of a modified local constant \(M\)-smoother
• Local linear kernel estimation of the discontinuous regression function
• Robust estimators for estimating discontinuous functions
• Nonparametric regression using local kernel estimating equations for correlated failure time data
• Local linear fitting and improved estimation near peaks
• Change points in nonparametric regresion functions
• Asymptotic bias and variance of a kernel-based estimator for the location of a discontinuity
• Nonparametric estimation of a discontinuity in regression
• A robust and efficient estimation method for nonparametric models with jump points
• Estimation non paramétrique d'une discontinuité dans une densité
• scientific article; zbMATH DE number 777881 (Why is no real title available?)
• Theory & Methods: Local Linear Kernel Regression with Long‐Range Dependent Errors
• Piecewise linear Tobit regression model estimation based on kernel function method

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