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题名Change-point detection for long-range dependent sequences in a general setting
作者
发表日期2009
发表期刊Nonlinear Analysis, Theory, Methods and Applications
ISSN/eISSN0362-546X
卷号71期号:12页码:e2398-e2405
摘要

We consider a sequence of observations (Xi)i = 1 ... n with a marginal distribution that is given by ℒ (Xi) = Pn if i ≤ n θn and ℒ (Xi) = Qn if i > n θn. The parameter 0 < θn < 1 is the location of the change-point which must be estimated and may depend on the sequence length. We consider the general case in which the change-point can converge to one of the end-points of the interval [0, 1] as the sequence length n tends to infinity. The sequence can be long-range dependent, short-range dependent or independent and may be nonstationary. We study a class of nonparametric estimators and prove that they are consistent and that the rate of convergence is 1 / n. We also deal with the case in which the distance between the distributions Pn and Qn tends to zero as n tends to infinity. © 2009 Elsevier Ltd. All rights reserved.

关键词Change-point estimation long-range dependence
DOI10.1016/j.na.2009.05.038
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收录类别SCIE
语种英语English
WOS研究方向Mathematics
WOS类目Mathematics, Applied ; Mathematics
WOS记录号WOS:000277952800157
原始文献类型Article
引用统计
被引频次[WOS]:0   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/2210
专题个人在本单位外知识产出
通讯作者Ben Hariz, Samir
作者单位
1.Department of Mathematics and Statistics, Wuhan University, Wuhan, China
2.Laboratoire de Statistique et Processus, Département de Mathématiques, 72085 Le Mans Cedex 9, Universite Maine. Av. Olivier Messiaen, France
3.Department of Mathematics, City University of Hong Kong, Kowloon Tong, Hong Kong 摘要
推荐引用方式
GB/T 7714
Nie, Weilin,Ben Hariz, Samir,Wylie, Jonathanet al. Change-point detection for long-range dependent sequences in a general setting[J]. Nonlinear Analysis, Theory, Methods and Applications, 2009, 71(12): e2398-e2405.
APA Nie, Weilin, Ben Hariz, Samir, Wylie, Jonathan, & Zhang, Qiang. (2009). Change-point detection for long-range dependent sequences in a general setting. Nonlinear Analysis, Theory, Methods and Applications, 71(12), e2398-e2405.
MLA Nie, Weilin,et al."Change-point detection for long-range dependent sequences in a general setting". Nonlinear Analysis, Theory, Methods and Applications 71.12(2009): e2398-e2405.
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