Advances and Applications in Statistics
Volume 45, Issue 2, Pages 125 - 151
(May 2015) http://dx.doi.org/10.17654/ADASMay2015_125_151 |
|
ASYMPTOTICS AND CONFIDENCE ESTIMATION IN SEGMENTED REGRESSION MODELS
R. A. Robinson and R. S. Gill
|
Abstract: 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. |
Keywords and phrases: segmented regression, confidence estimation, change points. |
|
Number of Downloads: 428 | Number of Views: 1072 |
|