Change point estimation for a weakly dependent sequence

DOI10.1016/S1631-073X(02)02460-3MaRDI QIDQ1854702zbMATH OpenFDO

Authors Patrick Ango Nze, Clémentine Prieur

Publication date 16 March 2004

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Recommendations

• Change point estimation by local linear smoothing under a weak dependence condition
• Change point estimators by local polynomial fits under a dependence assumption
• Change-point problems in nonlinear regression estimation with dependent observations
• Convergence of changepoint estimators for weakly dependent data
• Estimation on mean-variance change-point of dependent sequence

Cites work

• A new weak dependence condition and applications to moment inequalities
• A triangular central limit theorem under a new weak dependence condition
• Asymptotic theory of weakly dependent stochastic processes
• Variable bandwidth and local linear regression smoothers

Cited in

(5)

• Change-point in the mean of dependent observations
• Comparing change-point location in independent series
• Change point estimation by local linear smoothing under a weak dependence condition
• Change point detection for the mean of long range dependence sequence
• \(M\)-procedures for detection of a change under weak dependence

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