Testing for change points in partially linear models

In this paper we provide a method to test the existence of the change points in the nonparametric regression function of partially linear models with conditional heteroscedastic variance. We propose the test statistic and establish its asymptotic properties under some regular conditions. Some simula...

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Bibliographic Details
Published inActa Mathematicae Applicatae Sinica Vol. 31; no. 4; pp. 879 - 892
Main Authors Zhang, Li-wen, Zhu, Zhong-yi
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.10.2015
Subjects
Applications of Mathematics
Math Applications in Computer Science
Mathematical and Computational Physics
Mathematics
Mathematics and Statistics
Theoretical
heteroscedastic variance
partially linear model
local linear regression
bandwidth selection
62F10
62G10
change point
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Summary:In this paper we provide a method to test the existence of the change points in the nonparametric regression function of partially linear models with conditional heteroscedastic variance. We propose the test statistic and establish its asymptotic properties under some regular conditions. Some simulation studies are given to investigate the performance of the proposed method in finite samples. Finally, the proposed method is applied to a real data for illustration.
ISSN:0168-9673
1618-3932
DOI:10.1007/s10255-015-0518-9