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

DOI10.1016/S0378-3758(96)00208-XzbMath0946.62078OpenAlexW1999747140MaRDI QIDQ135915

Lajos Horváth, Piotr Kokoszka, Lajos Horváth, Piotr S. Kokoszka

Publication date: October 1997

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(96)00208-x

zbMATH Keywords

fractional Brownian motionlong-range dependencechange-point estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Related Items (45)

Two-sample U-statistic processes for long-range dependent data ⋮ Factor-driven two-regime regression ⋮ Estimation methods for the LRD parameter under a change in the mean ⋮ Change-of-variance problem for linear processes with long memory ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ The integrated periodogram for long-memory processes with finite or infinite variance ⋮ The CUSUM statistics of change-point models based on dependent sequences ⋮ Cumulative sum estimator for change-point in panel data ⋮ Hajek-Renyi-type inequality for \((\alpha, \beta)\)-mixing sequences and its application to change-point model ⋮ Data-driven estimation of change-points with mean shift ⋮ Change-point detection for long-range dependent sequences in a general setting ⋮ Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence ⋮ Serial rank statistics for detection of changes. ⋮ Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences ⋮ Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data ⋮ Testing for changes in the mean or variance of a stochastic process under weak invariance ⋮ Rates of convergence for the change-point estimator for long-range dependent sequences ⋮ Long memory versus structural breaks: an overview ⋮ A robust test for mean change in dependent observations ⋮ CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES ⋮ Gradual changes in long memory processes with applications ⋮ On rapid change points under long memory ⋮ Strong convergence rate of robust estimator of change point ⋮ Change-Point Estimation in Long Memory Nonparametric Models with Applications ⋮ A simple test of changes in mean in the possible presence of long-range dependence ⋮ Change-in-mean problem for long memory time series models with applications ⋮ A simple test on structural change in long-memory time series ⋮ Inference for mean change-point in infinite variance \(AR(p)\) process ⋮ On parameter estimation for locally stationary long-memory processes ⋮ Wavelet change-point estimation for long memory non-parametric random design models ⋮ CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS ⋮ Detection of change-points near the end points of long-range dependent sequences ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ memochange ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ Testing for changes in multivariate dependent observations with an application to temperature changes ⋮ Testing for Change in Long‐Memory Stochastic Volatility Time Series ⋮ Change-point problems: bibliography and review ⋮ Change-in-mean tests in long-memory time series: a review of recent developments ⋮ Nonparametric change-point estimation for dependent sequences ⋮ Change-point in the mean of dependent observations ⋮ Convergence rates for estimating a change-point with long-range dependent sequences ⋮ Inference for single and multiple change-points in time series ⋮ Fourier–type tests involving martingale difference processes ⋮ The S-estimator in the change-point random model with long memory

Uses Software

• longmemo

Cites Work

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• Cube root asymptotics
• On the residuals of autoregressive processes and polynomial regression
• Change in autoregressive processes
• Testing for a change in the parameter values and order of an autoregressive model
• The effect of serial correlation on tests for parameter change at unknown time
• Change-point problem and bootstrap
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• The joint density of the maximum and its location for a Wiener process with drift
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• The Effect of Serial Correlation on the Performance of CUSUM Tests
• Moment Inequalities for the Maximum Cumulative Sum

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