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Estimation of a jump point in random design regression

Michael Kohler and Adam Krzyżak

Statistics & Probability Letters, 2015, vol. 106, issue C, 247-255

Abstract: Given an i.i.d. sample of an R×R-valued random vector (X,Y), we estimate the location and the size of the maximal jump of the piecewise continuous regression function m(x)=E{Y|X=x}. The proposed estimates are shown to converge almost surely to the maximal jump point under weak conditions.

Keywords: Jump point; Nonparametric regression; Strong consistency (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.07.009

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Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

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