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

DOI10.1016/J.SPL.2005.03.008zbMATH Open1081.62061OpenAlexW2080902286MaRDI QIDQ2483883FDOQ2483883

Authors: Samir Ben Hariz, Jonathan J. Wylie 

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

Recommendations

• Convergence rates for estimating a change-point with long-range dependent sequences
• Nonparametric change-point estimation for dependent sequences
• Change point estimation based on Wilcoxon tests in the presence of long-range dependence
• Change-point detection for long-range dependent sequences in a general setting
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences

zbMATH Keywords

Rates of convergenceLong-range dependenceChange point

Mathematics Subject Classification ID

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

Cites Work

• The effect of long-range dependence on change-point estimators
• Nonparametric change-point estimation
• Title not available (Why is that?)
• The change-point problem for dependent observations
• The asymptotic behavior of some nonparametric change-point estimators
• Moment inequalities and the strong laws of large numbers
• Change-point in the mean of dependent observations
• Exponential and polynomial tailbounds for change-point estimators

Cited In (12)

• Nonparametric change-point estimation for dependent sequences
• Research on the convergence of estimators for change points in the mean of mixing random sequences
• Change point detection via feedforward neural networks with theoretical guarantees
• Hajek-Renyi-type inequality for \((\alpha, \beta)\)-mixing sequences and its application to change-point model
• Convergence rates for estimating a change-point with long-range dependent sequences
• Detection of change-points near the end points of long-range dependent sequences
• Inference for single and multiple change-points in time series
• On change-point estimation under Sobolev sparsity
• The effect of long-range dependence on change-point estimators
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
• Limit theorems in change-point problems with multivariate long-range dependent observations
• Change-point detection for long-range dependent sequences in a general setting

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