Limit theorems in change-point problems with multivariate long-range dependent observations

Abstract In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the mean of a set of multivariate long-range dependent observations. The limit theorems of weighted test statistics and weighted L p -functionals of tests are developed. The limiting processes of these statistics are structurally different from those encountered in the independent or weakly dependent case.

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Year of publication:	2003
Authors:	Wang, Lihong
Published in:	Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 21.2003, 3, p. 283-300
Publisher:	Oldenbourg Wissenschaftsverlag GmbH

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Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/stnd.21.3.283.23432 [DOI]
Source:	Other ZBW resources

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