The effect of long-range dependence on change-point estimators

被引：80

作者：

Horvath, L

Kokoszka, P

机构：

[1] UNIV UTAH,DEPT MATH,SALT LAKE CITY,UT 84112

[2] UNIV LIVERPOOL,DEPT MATH SCI,LIVERPOOL L69 3BX,MERSEYSIDE,ENGLAND

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1997年 / 64卷 / 01期

关键词：

change-point estimation; long-range dependence; fractional Brownian motion;

D O I：

10.1016/S0378-3758(96)00208-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

We study the asymptotic behaviour of a class of estimators of the time of change in the mean of Gaussian observations having long-range dependence. We prove that after a suitable normalization the estimators converge in distribution to functionals of fractional Brownian motion. (C) 1997 Elsevier Science B.V.

引用

页码：57 / 81

页数：25

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EFFECT OF SERIAL CORRELATION ON PERFORMANCE OF CUSUM TESTS II [J].