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

DOI10.1016/J.SPL.2005.03.008MaRDI QIDQ2483883zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Change-point in the mean of dependent observations
• Exponential and polynomial tailbounds for change-point estimators
• Moment inequalities and the strong laws of large numbers
• Nonparametric change-point estimation
• The asymptotic behavior of some nonparametric change-point estimators
• The change-point problem for dependent observations
• The effect of long-range dependence on 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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