On weak convergence of the likelihood ratio process in multi-phase regression models

Abstract: The purpose of this paper is to study the change point estimation problem in multi-phase regression models. This is a non-regular statistical estimation; thus the asymptotic distribution of the maximum likelihood estimator is verified by means of the weak convergence of the likelihood ratio process. These weak convergence results differ depending on the jump size of the regression function. [Copyright &y& Elsevier]