The M-estimation in a multi-phase random nonlinear model

DOI10.1016/J.SPL.2008.10.003MaRDI QIDQ1007340zbMATH OpenOpenAlexFDO

Authors Gabriela Ciuperca

Publication date 20 March 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.0153

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Asymptotic distribution theory in statistics (62E20)

Abstract: This paper considers M-estimation of a nonlinear regression model with multiple change-points occuring at unknown times. The multi-phase random design regression model, discontinuous in each change-point, have an arbitrary error $epsilon$. In the case when the number of jumps is known, the M-estimator of locations of breaks and of regression parameters are studied. These estimators are consistent and the distribution of the regression parameter estimators is Gaussian. The estimator of each change-point converges, with the rate $n^{-1}$, to the smallest minimizer of the independent compound Poisson processes. The results are valid for a large class of error distributions.

Recommendations

• Maximum likelihood estimator in a two-phase nonlinear random regression model
• Asymptotics of M-estimators in two-phase linear regression models.
• Change-Point Estimation as a Nonlinear Regression Problem
• Change point estimation in regression models with fixed design
• Maximum likelihood estimator in a multi-phase random regression model

Cites work

• scientific article; zbMATH DE number 4169866 (Why is no real title available?)
• scientific article; zbMATH DE number 192936 (Why is no real title available?)
• Asymptotics of M-estimators in two-phase linear regression models.
• Asymptotics of maximum likelihood estimator in a two-phase linear regression model
• Change-Point Estimation as a Nonlinear Regression Problem
• Estimating and Testing Linear Models with Multiple Structural Changes
• Maximum likelihood estimator in a multi-phase random regression model
• Maximum likelihood estimator in a two-phase nonlinear random regression model
• On asymptotic distribution theory in segmented regression problems - identified case
• Strong consistency of least squares estimates in multiple regression II
• The log likelihood ratio in segmented regression

Cited in

(11)

• Comments on: ``Extensions of some classical methods in change point analysis
• Estimators in step regression models
• Semiparametric method for identifying multiple change-points in financial market
• A general criterion to determine the number of change-points
• The LAD estimation of the change-point linear model with randomly censored data
• Model selection by LASSO methods in a change-point model
• Maximum likelihood estimator in a two-phase nonlinear random regression model
• Asymptotics of M-estimators in two-phase linear regression models.
• An embedded model estimator for non-stationary random functions using multiple secondary variables
• Penalized least absolute deviations estimation for nonlinear model with change-points
• On estimation in multiphase regression models with several regressors using prior knowledge

This page was built for publication: The M-estimation in a multi-phase random nonlinear model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1007340)