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Smoothed Maximum Score Change-point Estimation in Binary Response Model

Smoothed Maximum Score Change-point Estimation in Binary Response Model
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摘要 This paper studies the large sample properties of the change point estimates in binary response models. The estimate is obtained by maximizing the smoothed score function when the median of the latent error variable is assumed to be zero. An exponential convergence rate of the change point estimate is also established. This paper studies the large sample properties of the change point estimates in binary response models. The estimate is obtained by maximizing the smoothed score function when the median of the latent error variable is assumed to be zero. An exponential convergence rate of the change point estimate is also established.
作者 Min Yuan Lin-cheng Zhao Yao- hua Wu
机构地区 Department of Statistics and Finance
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2006年第4期655-662,共8页 应用数学学报（英文版）
基金 Supported by the National Natural Science Foundation of China(No.10471136) Ph.D.Program Foundation of the Ministry of Education of China and Special Foundations of the Chinese Academy of Science and University of Science and Technology of China
关键词 CHANGE-POINT strong consistency VC class maximum score function Change-point, strong consistency, VC class, maximum score function
分类号 O211.67 [理学—概率论与数理统计]
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参考文献12

  • 1Dudley, R.M. Universal donsker classes and metric entropy. The Annals of Probability., 15(4): 1306-1326(1987)
  • 2Horowitz, J.L. A smoothed score estimator for the binary response model. Econometrica., 60(3): 505-531(1992)
  • 3Horowitz, J.L. Semiparametic methods in econometrics. Springer-Verlag, New York, 1998
  • 4Kim, J., Pollard, D. Cube root asymptotics. Ann. Statist., 18(1): 191-219 (1990)
  • 5Kokoszka, P., Leipus, R. Change-point in the mean of dependent observations. Statistics and Probability Letters., 40(4): 385-393 (1998)
  • 6Manski, C. Maximum score estimation of the stochastic model of choice. JournaJ of Econometrics., 3(3):205-228 (1975)
  • 7Manski, C. Semiparametric analysis of discrete response: asymptotic properties of the maximum score estimator. Journal of Econometrics., 27(3): 313-333 (1985)
  • 8Manski, C. Semiparametric analysis of binary response from response-based samples. Journal of Econometrics., 31(1): 31-40 (1986)
  • 9Pollard, D. Empirical processes: theory and applications. NSF-CBMS Regional Conference Series in Probability and Statistics, Vol. 2. Institute of Mathematical Statistics, Hayward, 1990
  • 10Vapnik, V.N., Chervonenkis, A.YA. On the uniform convergence of relative frequences of events to their probabilities. Theory of Probability and its Applications., 17(2): 264-280 (1971)
Acta Mathematicae Applicatae Sinica
2006年 第4期

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