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Nonparametric estimation of a discontinuity in regression

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  • Astrid Dempfle
  • Winfried Stute

Abstract

We propose and study a new method to nonparametrically estimate a discontinuity of a regression function. The optimal rate of convergence n−1 is obtained under minimal assumptions. No smoothing is required.

Suggested Citation

  • Astrid Dempfle & Winfried Stute, 2002. "Nonparametric estimation of a discontinuity in regression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(2), pages 233-242, May.
    • Handle: RePEc:bla:stanee:v:56:y:2002:i:2:p:233-242
    DOI: 10.1111/1467-9574.00196
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    Cited by:

    1. Einmahl, J.H.J. & Gantner, M., 2009. "The Half-Half Plot," Discussion Paper 2009-77, Tilburg University, Center for Economic Research.
    2. Gantner, M., 2010. "Some nonparametric diagnostic statistical procedures and their asymptotic behavior," Other publications TiSEM eb04bdba-bf8a-4f6c-8dd8-9, Tilburg University, School of Economics and Management.
    3. Zhanfeng Wang & Wenxin Liu & Yuanyuan Lin, 2015. "A change-point problem in relative error-based regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 835-856, December.
    4. Tillich Daniel, 2016. "Checking Default Correlation and Score Correlation in a Breakpoint Model for Rating Classification," Stochastics and Quality Control, De Gruyter, vol. 31(1), pages 1-10, June.
    5. Ferger, Dietmar, 2009. "Argmax-stable marked empirical processes," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1203-1206, May.
    6. Maik Döring & Uwe Jensen, 2015. "Smooth change point estimation in regression models with random design," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 595-619, June.
    7. Ferger Dietmar & Klotsche Jens, 2009. "Estimation of split-points in binary regression," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 93-128, December.

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