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

DOI10.1016/J.SPL.2008.10.003zbMATH Open1156.62314arXiv0706.0153OpenAlexW2963384148MaRDI QIDQ1007340FDOQ1007340

Authors: Gabriela Ciuperca 

Publication date: 20 March 2009

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

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.

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

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Mathematics Subject Classification ID

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

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Cited In (11)

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

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