Asymptotics for change-point models under varying degrees of mis-specification
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Publication:5963519
Abstract: Change-point models are widely used by statisticians to model drastic changes in the pattern of observed data. Least squares/maximum likelihood based estimation of change-points leads to curious asymptotic phenomena. When the change-point model is correctly specified, such estimates generally converge at a fast rate () and are asymptotically described by minimizers of jump process. Under complete mis-specification by a smooth curve, i.e. when a change-point model is fitted to data described by a smooth curve, the rate of convergence slows down to and the limit distribution changes to that of the minimizer of a continuous Gaussian process. In this paper we provide a bridge between these two extreme scenarios by studying the limit behavior of change-point estimates under varying degrees of model mis-specification by smooth curves, which can be viewed as local alternatives. We find that the limiting regime depends on how quickly the alternatives approach a change-point model. We unravel a family of `intermediate' limits that can transition, at least qualitatively, to the limits in the two extreme scenarios.
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