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Bootstrap test for change-points in nonparametric regression

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Gijbels, Irène [UCL] Goderniaux, AC

The objective of this article is to test whether or not there is an abrupt change in the regression function itself or in its first derivative at certain (prespecified or not) locations. The test does not rely on asymptotics but approximates the sample distribution of the test statistic using a bootstrap procedure. The proposed testing method involves a data-driven choice of the smoothing parameters. The performance of the testing procedures is evaluated via a simulation study. Some comparison with an asymptotic test by Hamrouni (1999) and Gregoire and Hamrouni (2002b) and asymptotic tests by Muller and Stadtmuller (1999) and Dubowik and Stadtmuller (2000) is provided. We also demonstrate the use of the testing procedures on some real data.

Document type Communication à un colloque (Conference Paper) – Présentation orale avec comité de sélection
Access type Accès restreint
Publication date 2004
Language Anglais
Conference "International Conference on Recent Advances and Trends in NonParametric Statistics", IRAKLION(Greece) (Jul 15-19, 2002)
Journal information "Journal of Nonparametric Statistics" - Vol. 16, no. 3-4, p. 591-611 (2004)
Peer reviewed yes
issn 1048-5252
e-issn 1029-0311
Publisher Taylor & Francis Ltd (Abingdon)
Affiliation UCL - Autre
Keywords Bandwidth ; Bootstrap ; Cross-validation ; Discontinuity Points ; Derivative ; Least-squares Fitting ; Local Polynomial Approximation
Links
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Bibliographic reference Gijbels, Irène ; Goderniaux, AC. Bootstrap test for change-points in nonparametric regression.International Conference on Recent Advances and Trends in NonParametric Statistics (IRAKLION(Greece), Jul 15-19, 2002). In: Journal of Nonparametric Statistics, Vol. 16, no. 3-4, p. 591-611 (2004)
Permanent URL http://hdl.handle.net/2078.1/61285