Asymptotics of M-estimators in two-phase linear regression models.

DOI10.1016/S0304-4149(02)00185-0zbMath1075.62021OpenAlexW2148303398MaRDI QIDQ2574536

Lianfen Qian, Hira L. Koul, Donatas Surgailis

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00185-0

zbMATH Keywords

change-point estimatorcompound Poisson processfixed jump size

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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