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Change-point estimator in continuous quadratic regression

Daniela Jarušková (2001)

Commentationes Mathematicae Universitatis Carolinae

The paper deals with the asymptotic distribution of the least squares estimator of a change point in a regression model where the regression function has two phases --- the first linear and the second quadratic. In the case when the linear coefficient after change is non-zero the limit distribution of the change point estimator is normal whereas it is non-normal if the linear coefficient is zero.

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