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Kernel estimation of discontinuous regression functions

Kang, K; Koo, Ja-Yong; Park, C J

Description

A kernel regression estimator is proposed wherein the regression function is smooth, except possibly for a finite number of points of discontinuity. The proposed estimator uses preliminary estimators for the location and size of discontinuities or change-points in an otherwise smooth regression model and then uses an ordinary kernel regression estimator based on suitably adjusted data. Global L2 rates of convergence of curve estimates are derived. It is shown that these rates of convergence are...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
URI: http://hdl.handle.net/1885/90154
Source: Statistics and Probability Letters

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