Change in non-parametric regression with long memory errors

Wang Lihong

Statistics & Risk Modeling, 2005, vol. 23, issue 2, 147-159

Abstract: We consider a non-parametric regression model with long-range dependent innovations, in which the regression function may have a discontinuity at an unknown point. We propose a method to estimate the unknown time of change. The rate of consistency and limit distribution of the estimator are studied. Monte Carlo simulations are reported to assess the finite sample behavior of the estimator.

Keywords: change-point; long memory; non-parametric regression (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1524/stnd.2005.23.2.147

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