TAN Zhiping. Asymptotic Distribution for Estimator of the Magnitude of Jump and Slope Change in a Model with at Most One Change Point[J]. Chinese Journal of Applied Probability and Statistics, 1997, 13(3): 297-302.
Citation: TAN Zhiping. Asymptotic Distribution for Estimator of the Magnitude of Jump and Slope Change in a Model with at Most One Change Point[J]. Chinese Journal of Applied Probability and Statistics, 1997, 13(3): 297-302.
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Asymptotic Distribution for Estimator of the Magnitude of Jump and Slope Change in a Model with at Most One Change Point

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  • For the change point model with at most one changex(i / n)=f(i / n)+\epsilon(i / n), wheref(t)= \begincases\alpha_1+\beta_1\left(t-t_0\right), & 0ε（1/n）,…,(ε（n/n） are independently and identically distributed. In this paper, we have discussed the asymptotic distribution of estimate Vector of the magnitude of jump α2-α1 and slope changeβ2-β1 and have obtained that the asymptotic distribution is two-dimensional normal.
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