The M-estimator in a multi-phase random nonlinear model
| dc.creator | Ciuperca, Gabriela | |
| dc.date | 2007-06-01 | |
| dc.date | 2008-09-22 | |
| dc.date.accessioned | 2026-07-07T10:03:53Z | |
| dc.date.available | 2026-07-07T10:03:53Z | |
| dc.description | This paper considers M-estimation of a nonlinear regression model with multiple change-points occuring at unknown times. The multi-phase random design regression model, discontinuous in each change-point, have an arbitrary error $ε$. In the case when the number of jumps is known, the M-estimator of locations of breaks and of regression parameters are studied. These estimators are consistent and the distribution of the regression parameter estimators is Gaussian. The estimator of each change-point converges, with the rate $n^{-1}$, to the smallest minimizer of the independent compound Poisson processes. The results are valid for a large class of error distributions. | |
| dc.description | 19 pages | |
| dc.identifier | https://arxiv.org/abs/0706.0153 | |
| dc.identifier | http://arxiv.org/abs/0706.0153 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/169460 | |
| dc.subject | Statistics Theory | |
| dc.subject | Probability | |
| dc.subject | Methodology | |
| dc.title | The M-estimator in a multi-phase random nonlinear model | |
| dc.type | text |