We consider the problem of estimating the unknown breakpoints in segmented generalized linear models. Exact algorithms for calculating maximum likelihood estimators are derived for different types of models. After discussing the case of a GLM with a single covariate having one breakpoint a new...

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of the...