Explicit Solutions in a Smooth Change Problem

نویسندگان

  • Andrew L. Rukhin
  • A. L. Rukhin
چکیده

A setting of the change-point estimation problem with a “smooth” change is investigated. A special class of such models, where the change is defined as a gradual shift in the parameter, is considered. We show that these models can be analyzed via explicitly given procedures. It is demonstrated that M -estimators can consistently estimate the change in the parameter structure as well as the additional unknown parameter. Under mild regularity assumptions, asymptotic normality and asymptotic efficiency of these procedures are established.

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تاریخ انتشار 2003