Minimax lower bound for kink location estimators in a nonparametric regression model with long-range dependence

2011/07/28 by Justin Wishart, Justin Rory Wishart, Wishart, Justin Rory
Economics, Econometrics and Finance · Mathematics · #62G05 #62G08 #62G20 #Advanced Statistical Methods and Models #FOS: Mathematics #Fuzzy Systems and Optimization #Global trade and economics #Statistical Methods and Inference #Statistics Theory (math.ST) #math.ST #msc:62G05 #msc:62G08 #msc:62G20 #stat.TH

paper · pdf · doi:10.48550/arxiv.1107.5859

To appear in Statistics & Probability Letters

openalex publication_date 2011/07/28 · arxiv created 2011/07/29 · arxiv updated 2011/08/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, a lower bound is determined in the minimax sense for change point estimators of the first derivative of a regression function in the fractional white noise model. Similar minimax results presented previously in the area focus on change points in the derivatives of a regression function in the white noise model or consider estimation of the regression function in the presence of correlated errors.

Citations

• Fractional Brownian Motions, Fractional Noises and Applications

Related

• Kink estimation in stochastic regression with dependent errors and predictors
• Minimax rates of convergence for nonparametric location-scale models
• Minimax Linear Estimation at a Boundary Point
• Optimized Inference in Regression Kink Designs
• Minimax Risk in Estimating Kink Threshold and Testing Continuity