Asymptotics for generalized linear segmented regression models with an unknown breakpoint

  • 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.

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Author:H. Küchenhoff, Ulrich Wellisch
Document Type:Report
Publication Year:1997
Tag:Asymptotic theory; Linear segmentet regression models
faculties / departments:Fakultät für Angewandte Natur- und Geisteswissenschaften
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik