Change-point detection for the link function in a single-index model

DOI10.1016/j.spl.2022.109468zbMath1487.62041OpenAlexW4220760827MaRDI QIDQ2670772

Yi Zhang, Qing Yang

Publication date: 1 June 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109468

zbMATH Keywords

kernel regressionstructural changesingle-index modelCUSUM statistic

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Single-index quantile regression
• Estimator of a change point in single index models
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• Estimating change points in nonparametric time series regression models
• Change point detection for nonparametric regression under strongly mixing process
• Optimal smoothing in single-index models
• Nonparametric checks for single-index models
• ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL
• Investigating Smooth Multiple Regression by the Method of Average Derivatives
• Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates
• Semiparametric Estimation of Index Coefficients
• The Distribution of Realized Exchange Rate Volatility
• TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
• Change-Point Estimation in Long Memory Nonparametric Models with Applications
• TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION

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