Consistency of change point estimators for symmetrical stable distribution with parameters shift

DOI10.1007/S11425-008-0041-ZzbMATH Open1144.62020OpenAlexW1997703703MaRDI QIDQ943435FDOQ943435

Authors: Baiqi Miao, Chunlei Ge, Xiaoping Shi 

Publication date: 9 September 2008

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-008-0041-z

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zbMATH Keywords

consistencychange pointstable distributionstrong convergence rate

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)

Cites Work

• Change-point in the mean of dependent observations
• Exponential and polynomial tailbounds for change-point estimators
• Inference in a model with at most one slope-change point
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Cited In (5)

• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• A statistical test of change-point in mean that almost surely has zero error probabilities
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
• Detection of changes in a random financial sequence with a stable distribution
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