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| Content Provider | Springer Nature Link |
|---|---|
| Author | Cao, GuanQun Wang, ZhanFeng Wu, YaoHua Zhao, LinCheng |
| Copyright Year | 2008 |
| Abstract | Single index models are widely used in medicine, econometrics and some other fields. In this paper, we consider the inference of a change point problem in single index models. Based on density-weighted average derivative estimation (ADE) method, we propose a statistic to test whether a change point exists or not. The null distribution of the test statistic is obtained using a permutation technique. The permuted statistic is rigorously shown to have the same distribution in the limiting sense under both null and alternative hypotheses. After the null hypothesis of no change point is rejected, an ADE-based estimate of the change point is proposed under assumption that the change point is unique. A simulation study confirms the theoretical results. |
| Starting Page | 1855 |
| Ending Page | 1870 |
| Page Count | 16 |
| File Format | |
| ISSN | 10069283 |
| Journal | Science in China Series A: Mathematics |
| Volume Number | 51 |
| Issue Number | 10 |
| e-ISSN | 18622763 |
| Language | English |
| Publisher | SP Science in China Press |
| Publisher Date | 2008-09-02 |
| Publisher Place | Heidelberg |
| Access Restriction | Subscribed |
| Subject Keyword | change point single index models density weighted average derivatives U-statistic Brownian bridges Asymptotic properties of tests Estimation Applications of Mathematics |
| Content Type | Text |
| Resource Type | Article |
| Subject | Mathematics |
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