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• W2800443451 abstract "In many medical, financial, industrial, e.t.c. applications of statistics, the model parameters may undergo changes at unknown moment of time. In this thesis, we consider change point analysis in a regression setting for dichotomous responses, i.e. they can be modeled as Bernoulli or 0-1 variables. Applications are widespread including credit scoring in financial statistics and dose-response relations in biometry. The model parameters are estimated using neural network method. We show that the parameter estimates are identifiable up to a given family of transformations and derive the consistency and asymptotic normality of the network parameter estimates using the results in Franke and Neumann Franke Neumann (2000). We use a neural network based likelihood ratio test statistic to detect a change point in a given set of data and derive the limit distribution of the estimator using the results in Gombay and Horvath (1994,1996) under the assumption that the model is properly specified. For the misspecified case, we develop a scaled test statistic for the case of one-dimensional parameter. Through simulation, we show that the sample size, change point location and the size of change influence change point detection. In this work, the maximum likelihood estimation method is used to estimate a change point when it has been detected. Through simulation, we show that change point estimation is influenced by the sample size, change point location and the size of change. We present two methods for determining the change point confidence intervals: Profile log-likelihood ratio and Percentile bootstrap methods. Through simulation, the Percentile bootstrap method is shown to be superior to profile log-likelihood ratio method." @default.
• W2800443451 created "2018-05-17" @default.
• W2800443451 creator A5026303943 @default.
• W2800443451 date "2008-01-01" @default.
• W2800443451 modified "2023-10-17" @default.
• W2800443451 title "Nonparametric changepoint analysis for bernoulli random variables based on neural networks" @default.
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• W2800443451 hasPublicationYear "2008" @default.
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