Abstract

Bootstrap test for change-points in nonparametric regression

I. GIJBELS and A.-C. GODERNIAUX

The objective of this article is to test whether or not there is an abrupt change in the regression function itself or in its first derivative at certain (prespecified or not) locations. The test does not rely on asymptotics but approximates the sample distribution of the test statistic using a bootstrap procedure. The proposed testing method involves a data-driven choice of the smoothing parameters. The performance of the testing procedures is evaluated via a simulation study. Some comparison with an asymptotic test by Hamrouni (1999) and Grégoire and Hamrouni (2002b) and asymptotic test by Müller and Stadtmüller (1999) and Dubowik and Stadtmüller (2000) is provided. We also demonstrate the use of the testing procedures on some real data.

  Last update: June 30, 2004  - Contact : S. Malali