Limit theorems in change-point problems with multivariate long-range dependent observations

DOI10.1524/STND.21.3.283.23432zbMATH Open1053.62091OpenAlexW2228123903MaRDI QIDQ4451688FDOQ4451688

Authors: Lihong Wang 

Publication date: 1 March 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.21.3.283.23432

Recommendations

• scientific article; zbMATH DE number 23009
• Limit theorems in the context of multivariate long-range dependence
• Rates of convergence for the change-point estimator for long-range dependent sequences
• scientific article; zbMATH DE number 1048663
• Convergence rates for estimating a change-point with long-range dependent sequences
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• The effect of long-range dependence on change-point estimators
• The limit distribution of dynamic programming estimators of multiple change points
• scientific article

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25)

Cited In (10)

• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• Spurious regression between long memory series due to mis-specified structural breaks
• Non-parametric change-point tests for long-range dependent data
• Change-point detection with rank statistics in long-memory time-series models
• Limit theorems in the context of multivariate long-range dependence
• Asymptotics for random functions moderated by dependent noise
• A simple test of changes in mean in the possible presence of long-range dependence
• The effect of long-range dependence on change-point estimators
• Subsampling for General Statistics under Long Range Dependence with application to change point analysis
• Wavelet change-point estimation for long memory non-parametric random design models

This page was built for publication: Limit theorems in change-point problems with multivariate long-range dependent observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4451688)