A note on estimating the change-point of a gradually changing stochastic process

DOI10.1016/S0167-7152(01)00184-5MaRDI QIDQ1612988zbMATH OpenOpenAlexFDO

Authors Alexander Aue, J. G. Steinebach

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00184-5

zbMATH Keywords

AsymptoticsChange-pointGradual changeLimiting distributionLocation modelWeak invariance principleWiener process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cites work

• A limit theorem for the maximum of normalized sums of independent random variables
• Gradual changes versus abrupt changes.
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1959622 (Why is no real title available?)
• scientific article; zbMATH DE number 1450225 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Some remarks on the testing of smooth changes in the linear drift of a stochastic process
• Testing appearance of linear trend
• Testing for changes in the mean or variance of a stochastic process under weak invariance

Cited in

(20)

• Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
• Estimating a gradual parameter change in an AR(1)-process
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• Detecting gradual changes in locally stationary processes
• Smooth change point estimation in regression models with random design
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
• Change-point estimator in gradually changing sequences
• Probability maximizing approach to a secretary problem by random change-point of the distribution law of the observed process
• scientific article; zbMATH DE number 4090515 (Why is no real title available?)
• scientific article; zbMATH DE number 1959622 (Why is no real title available?)
• Change-point models and conditionally pure birth processes: an inequality on the stochastic intensity
• Parameter Estimation of Some NHPP Software Reliability Models with Change-Point
• Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown
• Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables
• Monitoring a Poisson process subject to gradual changes in the arrival rates
• Estimation for change point of discretely observed ergodic diffusion processes
• An estimator of the number of change points based on a weak invariance principle
• Gradual change-point analysis based on Spearman matrices for multivariate time series
• Monitoring a sequence of Bernoulli random variables subject to gradual changes in the success rates where the success rates are unknown

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