Change point estimators by local polynomial fits under a dependence assumption

Zhengyan Lin, Degui Li and Jia Chen

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2339-2355

Abstract: We study a random design regression model generated by dependent observations, when the regression function itself (or its [nu]-th derivative) may have a change or discontinuity point. A method based on the local polynomial fits with one-sided kernels to estimate the location and the jump size of the change point is applied in this paper. When the jump location is known, a central limit theorem for the estimator of the jump size is established; when the jump location is unknown, we first obtain a functional limit theorem for a local dilated-rescaled version estimator of the jump size and then give the asymptotic distributions for the estimators of the location and the jump size of the change point. The asymptotic results obtained in this paper can be viewed as extensions of corresponding results for independent observations. Furthermore, a simulated example is given to show that our theory and method perform well in practice.

Keywords: 62G07; 60F05; [alpha]-mixing; Change; point; Functional; limit; theorem; Local; polynomial; fits; Random; design; model (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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