| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153121 | Statistics & Probability Letters | 2009 | 8 Pages |
Abstract
This paper extends the results of M-estimation in [Koul, H.L., Qian, L., Surgailis, D., 2003. Asymptotics of M-estimators in two-phase linear regression models. Stochastic Processes and their Applications, 103, 123-154] to a general nonlinear random design regression model with multiple change-points at unknown times. The M-estimator of locations of breaks and of regression parameters are consistent. Convergence rate and asymptotic distribution are obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gabriela Ciuperca,