The M-estimation in a multi-phase random nonlinear model

Gabriela Ciuperca

Statistics & Probability Letters, 2009, vol. 79, issue 5, 573-580

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.

Date: 2009
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