BOOTSTRAPPING THE CHANGE-POINT OF A HAZARD RATE

TUAN D. PHAM1 AND HUNG T. NGUYEN2

1 Laboratory of Modelling and Computation, C.N.R.S., University of Grenoble,
B.P. 53x, 38041 Grenoble Cedex, France

2 Department of Mathematical Sciences, New Mexico State University,
Las Cruces, NM 88003, U.S.A.

(Received October 12, 1991; revised April 20, 1992)

Abstract.    This paper concerns the asymptotic validity of the bootstrap method in a non-regular model. Specifically, it is shown that the parametric bootstrap of the change-point parameter in the change-point hazard rate model works.

Key words and phrases:    Change-point, consistency of bootstrap method, parametric bootstrapping.

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