Limit theorems for permutations of empirical processes with applications to change point analysis

被引：7

作者：

Horvath, Lajos ^{[1
]}

Shao, Qi-Man ^{[2
,3
]}

机构：

[1] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA

[2] Hong Kong Univ Sci & Technol, Dept Math, Kowloon, Hong Kong, Peoples R China

[3] Univ Oregon, Dept Math, Eugene, OR 97403 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2007年 / 117卷 / 12期

基金：

美国国家科学基金会;

关键词：

weak convergence; permutations; rank statistics; empirical process; change point analysis; strong approximation;

D O I：

10.1016/j.spa.2007.02.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Theorems of approximation of Gaussian processes for the sequential empirical process of the permutations of independent random variables are established. The results are applied to simulate critical values for the functionals of sequential empirical processes used in change point analysis. The proofs are based on the properties of rank statistics and negatively associated random variables. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：1870 / 1888

页数：19

共 19 条

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