ASYMPTOTICS AND CONFIDENCE ESTIMATION IN SEGMENTED REGRESSION MODELS

被引：0

作者：

Robinson, R. A. ^{[1
]}

Gill, R. S. ^{[1
]}

机构：

[1] Univ Louisville, Dept Math, Louisville, KY 40292 USA

来源：

ADVANCES AND APPLICATIONS IN STATISTICS | 2015年 / 45卷 / 02期

关键词：

segmented regression; confidence estimation; change points;

D O I：

10.17654/ADASMay2015_125_151

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider confidence estimation methods for the change point parameter in a clustered segmented regression model with a continuity constraint using least squares estimators of the model parameters. The asymptotic properties of the estimators are first derived, and then these properties are used to demonstrate that the confidence estimation methods have the correct coverage probability. Finally, the performance of the methods is compared by simulation and the methods are applied to a real data example.

引用

页码：125 / 151

页数：27

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