Rates of convergence for the change-point estimator for long-range dependent sequences

DOI10.1016/j.spl.2005.03.008zbMath1081.62061OpenAlexW2080902286MaRDI QIDQ2483883

Jonathan J. Wylie, Samir Ben Hariz

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.03.008

zbMATH Keywords

Change pointRates of convergenceLong-range dependence

Mathematics Subject Classification ID

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

Related Items (7)

On change-point estimation under Sobolev sparsity ⋮ Hajek-Renyi-type inequality for \((\alpha, \beta)\)-mixing sequences and its application to change-point model ⋮ Change-point detection for long-range dependent sequences in a general setting ⋮ 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 dependent sequences ⋮ Inference for single and multiple change-points in time series

Cites Work

• Unnamed Item
• The effect of long-range dependence on change-point estimators
• Nonparametric change-point estimation
• The asymptotic behavior of some nonparametric change-point estimators
• Change-point in the mean of dependent observations
• The change-point problem for dependent observations
• Moment inequalities and the strong laws of large numbers
• Exponential and polynomial tailbounds for change-point estimators

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