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NonlinearRegress with model defined by NIntegrate


Hi All,
   I am trying to use NonlinearRegress to fit a model.  One of the 
independent variables in the model is in the upper limit of an NIntegrate 
command. Anybody knows how to do this?
                                                                 Thanks!

Here is what I mean:

f[x_,a_]= G[x,a] NIntegrate[H[y,a],{y,0,x}];

<< Statistics`NonlinearFit`

fitting= NonlinearRegress[data, f[x, a], x, {a, 1},
     RegressionReport -> BestFitParameters] 


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