Asymptotics for generalized linear segmented regression models with an unknown breakpoint

Küchenhoff, Helmut und Wellisch, U. (1997): Asymptotics for generalized linear segmented regression models with an unknown breakpoint. Sonderforschungsbereich 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.

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Sonderforschungsbereich 386 ; Sonderforschungsbereiche > Sonderforschungsbereich 386
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch