Journal of the Korean Data and Information Science Society
- Volume 18 Issue 3
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- Pages.669-678
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- 2007
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- 1598-9402(pISSN)
Nonparametric detection algorithm of discontinuity points in the variance function
Abstract
An algorithm to detect the number of discontinuity points of the variance function in regression model is proposed. The proposed algorithm is based on the left and right one-sided kernel estimators of the second moment function and test statistics of the existence of a discontinuity point coming from the asymptotic distribution of the estimated jump size. The finite sample performance is illustrated by simulated example.
Keywords