Multiple change-points estimation of moving-average processes under dependence assumptions

DOI10.1080/10020070412331344151MaRDI QIDQ2583361zbMATH OpenOpenAlexFDO

Authors Lixin Zhang, Yunxia Li

Publication date 16 January 2006

Published in Progress in Natural Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10020070412331344151

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions
• Rate of convergence for multiple change-points estimation of moving-average processes
• Change-point in the mean of dependent observations
• Research on the convergence of estimators for change points in the mean of mixing random sequences
• Estimation on mean-variance change-point of dependent sequence

Cited in

(8)

• Inference for a mean-reverting stochastic process with multiple change points
• Rate of convergence for multiple change-points estimation of moving-average processes
• Estimation on mean-variance change-point of dependent sequence
• Détection de ruptures multiples dans la moyenne d'un processus aléatoire
• Convergence of changepoint estimators for weakly dependent data
• Data-driven estimation of change-points with mean shift
• Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions
• A MOSUM procedure for the estimation of multiple random change points

This page was built for publication: Multiple change-points estimation of moving-average processes under dependence assumptions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2583361)