Change-point in the mean of dependent observations (Q1305227): Difference between revisions

We prove the consistency of CUSUM-type estimators of the point of shift in the means of a sequence of observations and obtain the rates of convergence. A non-restrictive dependence structure is allowed, making the result applicable to nonlinear and non-stationary sequences. The proof is based on a fairly general Hájek-Rényi-type inequality.