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Estimation of a change point in the variance function based on the χ2-distribution

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  • Jib Huh

Abstract

Let us consider that the variance function or its νth derivative in a regression model has a change/discontinuity point at an unknown location. To use the local polynomial fits, the log-variance function which break the positivity is targeted. The location and the jump size of the change point are estimated based on a one-sided kernel-weighted local-likelihood function which is provided by the χ2-distribution. The whole structure of the log-variance function is then estimated using the data sets split by the estimated location. Asymptotic results of the proposed estimators are described. Numerical works demonstrate the performances of the methods with simulated and real examples.

Suggested Citation

  • Jib Huh, 2016. "Estimation of a change point in the variance function based on the χ2-distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(17), pages 4937-4968, September.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:17:p:4937-4968
    DOI: 10.1080/03610926.2014.930912
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