p-Variation of CUSUM process and testing change in the mean

DOI10.1080/03610918.2020.1844899MaRDI QIDQ6171276zbMATH OpenOpenAlexFDO

Authors Alfredas Račkauskas

Publication date 17 July 2023

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2020.1844899

zbMATH Keywords

\(p\)-variationchange-pointCUSUM process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Asymptotic properties of parametric tests (62F05)

Cites work

• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
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• CONTINUOUS INSPECTION SCHEMES
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• Inference about the change-point in a sequence of random variables
• Jackknife, bootstrap and other resampling methods in regression analysis
• Optimal detection of changepoints with a linear computational cost
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• The problem of the Nile: Conditional solution to a changepoint problem

Cited in

(1)

• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators

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