Change-point detection for long-range dependent sequences in a general setting

DOI10.1016/J.NA.2009.05.038MaRDI QIDQ425833zbMATH OpenOpenAlexFDO

Authors Weilin Nie, Samir Ben Hariz, Qiang Zhang, Jonathan J. Wylie

Publication date 9 June 2012

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2009.05.038

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Detection of change-points near the end points of long-range dependent sequences
• Nonparametric change-point estimation for dependent sequences
• Convergence rates for estimating a change-point with long-range dependent sequences
• Rates of convergence for the change-point estimator for long-range dependent sequences
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1487664 (Why is no real title available?)
• Boundary estimation based on set-indexed empirical processes
• Change-point in the mean of dependent observations
• Exact local Whittle estimation of fractional integration
• Exponential and polynomial tailbounds for change-point estimators
• Inference about the change-point in a sequence of random variables
• Nonparametric change-point estimation
• On the rate of almost sure convergence of Dümbgen's change-point estimators
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
• Rates of convergence for the change-point estimator for long-range dependent sequences
• The asymptotic behavior of some nonparametric change-point estimators
• The effect of long-range dependence on change-point estimators

Cited in

(10)

• Nonparametric change-point estimation for dependent sequences
• Convergence rates for estimating a change-point with long-range dependent sequences
• Change-point detection with rank statistics in long-memory time-series models
• Rates of convergence for the change-point estimator for long-range dependent sequences
• The effect of long-range dependence on change-point estimators
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
• Detection of change-points near the end points of long-range dependent sequences
• Nonparametric Change-Point Estimation for Data from an Ergodic Sequence
• Change point detection for the mean of long range dependence sequence

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