Nonparametric inference in a simple change-point model
Author(s): Zhan Feng Wang;
Pages: 1483-1496
Year: 2008 Issue: 9
Journal: Acta Mathematica Sinica
Keyword: sample median ; change point ; extreme distribution ; Bahadur representation ;
Abstract: ...is a sequence of i.i.d. random variables distributed as e with 0 being the median of e. For this change point model, hypothesis test problem about the change-point t0 is studied and a test statistic is constructed. Furthermore, a nonparametric estimator of t0 is proposed and shown to be strongly consistent. Finally, we give an estimator of jump θ and obtain it’s asymptotic property. Performance of the proposed approach is investigated by extensive simulation studies.
Pages: 1483-1496
Year: 2008 Issue: 9
Journal: Acta Mathematica Sinica
Keyword: sample median ; change point ; extreme distribution ; Bahadur representation ;
Abstract: ...is a sequence of i.i.d. random variables distributed as e with 0 being the median of e. For this change point model, hypothesis test problem about the change-point t0 is studied and a test statistic is constructed. Furthermore, a nonparametric estimator of t0 is proposed and shown to be strongly consistent. Finally, we give an estimator of jump θ and obtain it’s asymptotic property. Performance of the proposed approach is investigated by extensive simulation studies.
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