On weak convergence of the likelihood ratio process in multi-phase regression models

The purpose of this paper is to study the change point estimation problem in multi-phase regression models. This is a non-regular statistical estimation; thus the asymptotic distribution of the maximum likelihood estimator is verified by means of the weak convergence of the likelihood ratio process. These weak convergence results differ depending on the jump size of the regression function.

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Year of publication:	2008
Authors:	Fujii, Takayuki
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 14, p. 2066-2074
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074608