Change-point in the mean of dependent observations

We prove the consistency of a family of CUSUM-type estimators of the point of change in the mean of dependent observations and derive the rates of convergence. The result is valid under weak assumptions on the dependence structure.

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Year of publication:	1998
Authors:	Kokoszka, Piotr ; Leipus, Remigijus
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 40.1998, 4, p. 385-393
Publisher:	Elsevier
Keywords:	Change-point estimation Dependent observations Hájek-Rényi inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313904