TY - JOUR
T1 - Robust bent line regression
AU - Zhang, Feipeng
AU - Li, Qunhua
N1 - Funding Information:
QL and FZ are partially supported by NIH ? R01GM109453. FZ is also partially supported by National Natural Science Foundation of China (NSFC) (No. 11401194), the Fundamental Research Funds for the Central Universities (No. 531107050739).
Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2017/6/1
Y1 - 2017/6/1
N2 - We introduce a rank-based bent linear regression with an unknown change point. Using a linear reparameterization technique, we propose a rank-based estimate that can make simultaneous inference on all model parameters, including the location of the change point, in a computationally efficient manner. We also develop a score-like test for the existence of a change point, based on a weighted CUSUM process. This test only requires fitting the model under the null hypothesis in absence of a change point, thus it is computationally more efficient than likelihood-ratio type tests. The asymptotic properties of the test are derived under both the null and the local alternative models. Simulation studies and two real data examples show that the proposed methods are robust against outliers and heavy-tailed errors in both parameter estimation and hypothesis testing.
AB - We introduce a rank-based bent linear regression with an unknown change point. Using a linear reparameterization technique, we propose a rank-based estimate that can make simultaneous inference on all model parameters, including the location of the change point, in a computationally efficient manner. We also develop a score-like test for the existence of a change point, based on a weighted CUSUM process. This test only requires fitting the model under the null hypothesis in absence of a change point, thus it is computationally more efficient than likelihood-ratio type tests. The asymptotic properties of the test are derived under both the null and the local alternative models. Simulation studies and two real data examples show that the proposed methods are robust against outliers and heavy-tailed errors in both parameter estimation and hypothesis testing.
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U2 - 10.1016/j.jspi.2017.01.001
DO - 10.1016/j.jspi.2017.01.001
M3 - Article
C2 - 28943710
AN - SCOPUS:85011304725
SN - 0378-3758
VL - 185
SP - 41
EP - 55
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
ER -