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Wang, Lihong

Change-point estimation in long memory nonparametric models with applications. (English) Zbl 1139.62022

Commun. Stat., Simulation Comput. 37, No. 1, 48-61 (2008).
Summary: We consider the estimation of a change point or discontinuity in a regression function for random design models with long memory errors. We provide several change-point estimators and investigate the consistency of the estimators. Using the fractional ARIMA process as an example of long memory processes, we report a small Monte Carlo experiment to compare the performance of the estimators in finite samples. We finish by applying the method to a climatological data example.

Cited in 7 Documents

MSC:

62G08 Nonparametric regression and quantile regression
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05 Monte Carlo methods
62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference

Keywords:

kernel estimation; nearest-neighbor estimation; tables; random design

Software:

longmemo
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Full Text: DOI

References:

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