For the breakpoint parameter in segmented regression we consider confidence intervals based on the score statistic. Due to unsmoothness of the score, we propose to build the confidence intervals using its smoothed version under proper shape restrictions. Some simulations are presented to assess the finite sample performance of the proposed approach.
MUGGEO, V. (2012). Smoothed score confidence interval for the breakpoint in segmented regression. In Proceedings of the 27th International Workshop on Statistical Modelling (pp. 227-232). Prague : Komarek, A., Nagy, S.
Smoothed score confidence interval for the breakpoint in segmented regression
MUGGEO, Vito Michele Rosario
2012-01-01
Abstract
For the breakpoint parameter in segmented regression we consider confidence intervals based on the score statistic. Due to unsmoothness of the score, we propose to build the confidence intervals using its smoothed version under proper shape restrictions. Some simulations are presented to assess the finite sample performance of the proposed approach.
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