The CUSUM statistic of change point under NA sequences

DOI10.1007/S11766-021-4015-ZzbMATH Open1499.62311OpenAlexW4200039430MaRDI QIDQ2076705FDOQ2076705

Authors Jin Ling, Xiaoqin Li, Wenzhi Yang, Jian-ling Jiao

Publication date 22 February 2022

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-021-4015-z

zbMATH Keywords

limit distributionBrownian bridgeCUSUM statisticNA sequences

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Strong consistency of estimators for change points in the means
• Change-point in the mean of dependent observations
• Data-driven estimation of change-points with mean shift
• Limit results for \(L^p\) functionals of weighted CUSUM processes
• Asymptotic properties for the sequential CUSUM procedure

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(6)

• Strong consistency of estimators for change points in the means
• Limit results for \(L^p\) functionals of weighted CUSUM processes
• Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
• Detection of multiple change points for linear processes under negatively super-additive dependence
• Bias of estimator of change point detected by a CUSUM procedure
• Inference for change point and post change means after a CUSUM test.

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