IDEAS home Printed from https://ideas.repec.org/a/bpj/strimo/v22y2004i4-2004p335-349n6.html
   My bibliography  Save this article

Maximum likelihood estimator in a two-phase nonlinear random regression model

Author

Listed:
  • Ciuperca Gabriela

Abstract

We consider a two-phase random design nonlinear regression model, the regression function is discontinuous at the change-point. The errors ∊ are arbitrary, with E(∊) = 0 and E(∊2)

Suggested Citation

  • Ciuperca Gabriela, 2004. "Maximum likelihood estimator in a two-phase nonlinear random regression model," Statistics & Risk Modeling, De Gruyter, vol. 22(4), pages 335-349, April.
  • Handle: RePEc:bpj:strimo:v:22:y:2004:i:4/2004:p:335-349:n:6
    DOI: 10.1524/stnd.22.4.335.64312
    as

    Download full text from publisher

    File URL: https://doi.org/10.1524/stnd.22.4.335.64312
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

    File URL: https://libkey.io/10.1524/stnd.22.4.335.64312?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Grégoire, Gérard & Hamrouni, Zouhir, 2002. "Change Point Estimation by Local Linear Smoothing," Journal of Multivariate Analysis, Elsevier, vol. 83(1), pages 56-83, October.
    2. Facer, Matthew R. & Müller, Hans-Georg, 2003. "Nonparametric estimation of the location of a maximum in a response surface," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 191-217, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ciuperca, Gabriela, 2009. "The M-estimation in a multi-phase random nonlinear model," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 573-580, March.
    2. Sergueï Dachian & Ilia Negri, 2011. "On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 255-271, October.
    3. Fujii, Takayuki, 2008. "On weak convergence of the likelihood ratio process in multi-phase regression models," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2066-2074, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Promit Ghosal & Bodhisattva Sen, 2017. "On Univariate Convex Regression," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(2), pages 215-253, August.
    2. Bastian Schäfer, 2021. "Bandwidth selection for the Local Polynomial Double Conditional Smoothing under Spatial ARMA Errors," Working Papers CIE 146, Paderborn University, CIE Center for International Economics.
    3. Porter, Jack & Yu, Ping, 2015. "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, vol. 189(1), pages 132-147.
    4. Müller, Hans-Georg & Wai, Newton, 2006. "Asymptotic fluctuations of mutagrams," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1201-1210, July.
    5. Huh, Jib, 2010. "Detection of a change point based on local-likelihood," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1681-1700, August.
    6. Lin, Zhengyan & Li, Degui & Chen, Jia, 2008. "Change point estimators by local polynomial fits under a dependence assumption," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2339-2355, November.
    7. Einmahl, J.H.J. & Gantner, M., 2009. "The Half-Half Plot," Other publications TiSEM 88c03da5-f408-4cd8-a7f9-0, Tilburg University, School of Economics and Management.
    8. Nora M. Villanueva & Marta Sestelo & Miguel M. Fonseca & Javier Roca-Pardiñas, 2023. "seq2R: An R Package to Detect Change Points in DNA Sequences," Mathematics, MDPI, vol. 11(10), pages 1-20, May.
    9. Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
    10. Huh, Jib, 2012. "Nonparametric estimation of the regression function having a change point in generalized linear models," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 843-851.
    11. Gantner, M., 2010. "Some nonparametric diagnostic statistical procedures and their asymptotic behavior," Other publications TiSEM eb04bdba-bf8a-4f6c-8dd8-9, Tilburg University, School of Economics and Management.
    12. Jialiang Li & Yaguang Li & Tailen Hsing, 2022. "On functional processes with multiple discontinuities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 933-972, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:strimo:v:22:y:2004:i:4/2004:p:335-349:n:6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.