Estimation in a change-point non linear quantile model

DOI10.1080/03610926.2015.1116576zbMATH Open1462.62149arXiv1401.4883OpenAlexW2963674564MaRDI QIDQ5349136FDOQ5349136

Authors: Gabriela Ciuperca 

Publication date: 23 August 2017

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

Abstract: This paper considers a nonlinear quantile model with change-points. The quantile estimation method, which as a particular case includes median model, is more robust with respect to other traditional methods when model errors contain outliers. Under relatively weak assumptions, the convergence rate and asymptotic distribution of change-point and of regression parameter estimators are obtained. Numerical study by Monte Carlo simulations shows the performance of the proposed method for nonlinear model with change-points.

Full work available at URL: https://arxiv.org/abs/1401.4883

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zbMATH Keywords

quantile regressionasymptotic behaviormultiple change-points

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02)

Cited In (11)

• Change-point analysis using logarithmic quantile estimation
• Oracle estimation of a change point in high-dimensional quantile regression
• Composite change point estimation for bent line quantile regression
• Penalized least absolute deviations estimation for nonlinear model with change-points
• Estimating nonlinear regression with and without change-points by the LAD method
• Testing for change points due to a covariate threshold in quantile regression
• Changepoint detection by the quantile Lasso method
• Estimation of technical change: direct semi/nonparametric approaches
• Real time change-point detection in a nonlinear quantile model
• Change-point detection in a linear model by adaptive fused quantile method
• Estimation in quantile regression models with jump discontinuities

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