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Limit theorems for permutations of empirical processes with applications to change point analysis

Theorems of approximation of Gaussian processes for the sequential empirical process of the permutations of independent random variables are established. The results are applied to simulate critical values for the functionals of sequential empirical processes used in change point analysis. The proofs are based on the properties of rank statistics and negatively associated random variables.
Year of publication:
2007
Authors: Horváth, Lajos ; Shao, Qi-Man
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 12, p. 1870-1888
Publisher: Elsevier
Keywords: Weak convergence Permutations Rank statistics Empirical process Change point analysis Strong approximation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874461
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