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Nonparametric estimation in a two change-point model

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  • B. Boukai
  • H. Zhou

Abstract

In this paper we consider a change-point model which consists of two change points and a transition period in between. A nonparametric estimation procedure for the two unknown change points is proposed, based on the weighted Kolmogorov-Smirnov norm. The strong consistency of the resulting estimates is shown along with rate of convergence. Detailed technical proofs for the main results are given as well as results of a simulation study. The estimation procedure is exemplified on the well-known Coal-Mining data.

Suggested Citation

  • B. Boukai & H. Zhou, 1997. "Nonparametric estimation in a two change-point model," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 8(3), pages 275-292, September.
    • Handle: RePEc:taf:gnstxx:v:8:y:1997:i:3:p:275-292
    DOI: 10.1080/10485259708832725
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    References listed on IDEAS

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    1. Ashish Sen & S. Srivastava, 1975. "On tests for detecting change in mean when variance is unknown," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 27(1), pages 479-486, December.
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