ESTIMATION OF A KIND OF JUMP REGRESSION FUNCTION

Qiu Peihua

Journal of Systems Science & Complexity ›› 1991, Vol. 4 ›› Issue (1) : 1-013.

PDF(587 KB)
PDF(587 KB)
Journal of Systems Science & Complexity ›› 1991, Vol. 4 ›› Issue (1) : 1-013.
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ESTIMATION OF A KIND OF JUMP REGRESSION FUNCTION

  • Qiu Peihua
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Abstract

Research on jump regression functions has not been adequate yet According to the information about the number of jumps, their positions and jump magnitudes, jump regression functions can be classified into eight types. This paper deals especially with the second jump regression function. First of all,a concept of trimmed spline estimate is proposed andwith it an L~2-consistent estimate of the smoothing part of the jump regression function is obtained. This along with the L~2-consistent estimate of jump magnitude constitutes an estimate of the second jump regression function. This paper discusses also the case that the jump positions have some indeterminacy. A new criterion is suggested and its unique solution derived. In the end, a few numerical results are given.

Key words

Jump regression function / trimmed spline estimate / correction

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Qiu Peihua. ESTIMATION OF A KIND OF JUMP REGRESSION FUNCTION. Journal of Systems Science and Complexity, 1991, 4(1): 1-013
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