Change-point in the mean of dependent observations (Q1305227)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Change-point in the mean of dependent observations |
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Change-point in the mean of dependent observations (English)
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8 May 2000
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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.
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change-point estimation
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dependent observations
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Hajek-Renyi inequality
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