Koul, Hira L.; Qian, Lianfen; Surgailis, Donatas - In: Stochastic Processes and their Applications 103 (2003) 1, pp. 123-154
This paper discusses the consistency and limiting distributions of a class of M-estimators in two-phase random design linear regression models where the regression function is discontinuous at the change-point with a fixed jump size. The consistency rate of an M-estimator for the change-point...