Estimation in a change-point non linear quantile model

DOI10.1080/03610926.2015.1116576MaRDI QIDQ5349136zbMATHOpenAlexFDO

Authors Gabriela Ciuperca

Publication date 23 August 2017

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

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

zbMATH Keywords

quantile regressionasymptotic behaviormultiple change-points

Mathematics Subject Classification ID

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

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.

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Cited in

(11)

• 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
• Estimating nonlinear regression with and without change-points by the LAD method
• Change-point analysis using logarithmic quantile estimation
• Change-point detection in a linear model by adaptive fused quantile method
• Estimation in quantile regression models with jump discontinuities
• Oracle estimation of a change point in high-dimensional quantile regression
• Composite change point estimation for bent line quantile regression
• Real time change-point detection in a nonlinear quantile model
• Penalized least absolute deviations estimation for nonlinear model with change-points

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