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

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

Hira L. Koul, Donatas Surgailis, Lianfen Qian

Publication date: 29 November 2005

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

zbMATH Keywords

change-point estimator; compound Poisson process; fixed jump size

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

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