Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Detection of Change-Points by Local Linear Regression Fit;

  • Kim, Jong Tae (Department of Statistics, Taegu University) ;
  • Choi, Hyemi (Department of Statistics, Seoul National University) ;
  • Huh, Jib (Department of Statistical Science, DukSung Women's University)
  • Published : 2003.04.01
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Abstract

A simple method is proposed to detect the number of change points and test the location and size of multiple change points with jump discontinuities in an otherwise smooth regression model. The proposed estimators are based on a local linear regression fit by the comparison of left and right one-side kernel smoother. Our proposed methodology is explained and applied to real data and simulated data.

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References

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  1. Bandwidth selection for discontinuity point estimation in density vol.23, pp.1, 2012, https://doi.org/10.7465/jkdi.2012.23.1.079
  2. Bandwidth selections based on cross-validation for estimation of a discontinuity point in density vol.23, pp.4, 2012, https://doi.org/10.7465/jkdi.2012.23.4.765