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 Two-step change point estimation in nonparametric
regression model and the empirical analysis


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 Two-step change point estimation in nonparametric
regression model and the empirical analysis
ZHAO Wenzhi1 XIA Zhiming2 HE Feiyue1
 1.School of Science, Xi’an Polytechnic University,Xi’an 710048,China;
2.Department of Mathematics, Northwest University, Xi’an 710127,China
 nonparametric regression model change point local linear method CUSUM
O 212.7
 The two-step estimators for change point in nonparametric regression are proposed. In the first step, an initial estimator is obtained by local linear smoothing method. In the second step, the final estimator is obtained by CUSUM method on a closed neighborhood of initial estimator. It is found through a simulation study that the proposed estimator is efficient. The estimator for jump size is also obtained. Further more, experimental results that using historical data on Nile river discharges, exchange rate data of USD against RMB and global temperature data for the northern hemisphere show that the proposed method is also practical in applications.


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Last Update: 2016-10-08