Change-point detection for long-range dependent sequences in a general setting

DOI10.1016/J.NA.2009.05.038zbMATH Open1239.62029OpenAlexW2034107942MaRDI QIDQ425833FDOQ425833

Authors: Weilin Nie, Samir Ben Hariz, Qiang Zhang, Jonathan J. Wylie 

Publication date: 9 June 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.05.038

Recommendations

• Detection of change-points near the end points of long-range dependent sequences
• Nonparametric change-point estimation for dependent sequences
• Convergence rates for estimating a change-point with long-range dependent sequences
• Rates of convergence for the change-point estimator for long-range dependent sequences
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• The effect of long-range dependence on change-point estimators
• Nonparametric change-point estimation
• Title not available (Why is that?)
• Rates of convergence for the change-point estimator for long-range dependent sequences
• Exact local Whittle estimation of fractional integration
• Inference about the change-point in a sequence of random variables
• The asymptotic behavior of some nonparametric change-point estimators
• Change-point in the mean of dependent observations
• On the rate of almost sure convergence of Dümbgen's change-point estimators
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
• Title not available (Why is that?)
• Boundary estimation based on set-indexed empirical processes
• Exponential and polynomial tailbounds for change-point estimators

Cited In (10)

• Nonparametric change-point estimation for dependent sequences
• Rates of convergence for the change-point estimator for long-range dependent sequences
• Convergence rates for estimating a change-point with long-range dependent sequences
• Change-point detection with rank statistics in long-memory time-series models
• Detection of change-points near the end points of long-range dependent sequences
• The effect of long-range dependence on change-point estimators
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences
• Change point detection for the mean of long range dependence sequence
• Nonparametric Change-Point Estimation for Data from an Ergodic Sequence

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