Empirical likelihood approach for change-point estimation based on residuals in piecewise linear models

Pengli Gao and Zhiming Xia

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 10, 2371-2381

Abstract: This paper considers the problem of structural changes. The empirical likelihood approach is used to estimate change-point in piecewise linear models. And theoretically we establish the consistency of the estimated change-point fraction τ̂ in piecewise linear models based on residuals. Monte Carlo simulation also shows that the estimated break point fraction τ̂ converges to its true value τ*.

Date: 2021
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DOI: 10.1080/03610926.2019.1667395

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