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Change Point Estimation Using Nonparametric Regression
Clive R. Loader
The Annals of Statistics
Vol. 24, No. 4 (Aug., 1996), pp. 1667-1678
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/2242744
Page Count: 12
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We consider a regression model in which the mean function may have a discontinuity at an unknown point. We propose an estimate of the location of the discontinuity based on one-side nonparametric regression estimates of the mean function. The change point estimate is shown to converge in probability at rate O(n-1) and to have the same asymptotic distribution as maximum likelihood estimates considered by other authors under parametric regression models. Confidence regions for the location and size of the change are also discussed.
The Annals of Statistics © 1996 Institute of Mathematical Statistics