Empirical likelihood test in a posteriori change-point nonlinear model

DOI10.1007/S00184-015-0534-ZzbMATH Open1325.62096arXiv1312.3757OpenAlexW2014656283MaRDI QIDQ889149FDOQ889149

Zahraa Salloum, Gabriela Ciuperca

Publication date: 6 November 2015

Published in: Metrika (Search for Journal in Brave)

Abstract: In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the alternative of one change in the regression parameters. Under null hypothesis, the consistency and the convergence rate of the regression parameter estimators are proved. The asymptotic distribution of the test statistic under the null hypothesis is obtained, which allows to find the asymptotic critical value. On the other hand, we prove that the proposed test statistic has the asymptotic power equal to 1. These theoretical results allows find a simple test statistic, very useful for applications. The epidemic model, a particular model with two change-points under the alternative hypothesis, is also studied. Numerical studies by Monte-Carlo simulations show the performance of the proposed test statistic, compared to an existing method in literature.

Full work available at URL: https://arxiv.org/abs/1312.3757

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zbMATH Keywords

asymptotic behaviourchange-pointempirical likelihood testnonlinear parametric model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Asymptotic distribution theory in statistics (62E20) Generalized linear models (logistic models) (62J12)

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Cited In (10)

• Empirical likelihood confidence regions for the parameters of a two phases nonlinear model with and without missing response data
• Empirical Likelihood Ratio Test for a Change-Point in Linear Regression Model
• Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
• Semiparametric tests for change-points with epidemic alternatives
• Likelihood ratio test for a piecewise continuous Weibull model with an unknown change point
• Empirical likelihood test for the application of swqmele in fitting an arma‐garch model
• Empirical likelihood test for high-dimensional two-sample model
• Empirical likelihood ratio test for the change-point problem
• Empirical likelihood approach for change-point estimation based on residuals in piecewise linear models
• Real time change-point detection in a nonlinear quantile model

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