Asymptotics for generalized linear segmented regression models with an unknown breakpoint

Küchenhoff, Helmut and Wellisch, U. (1997): Asymptotics for generalized linear segmented regression models with an unknown breakpoint. Collaborative Research Center 386, Discussion Paper 83

Abstract

We consider asymptotic theory for the maximum likelihood estimator in the generalized linear model with an unknown breakpoint. A proof for the asymptotic normality is given. The methods are based on the work of Huber (1967). The main problem is the non--differentiability of the likelihood and the score function, which requires non--standard methods. An example from epidemiology is presented, where confidence intervals for the parameters are calculated with the asymptotic results.

• Item Type: Paper (Research Paper)
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics