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

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 Lp-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:	Lihong, Wang
Published in:	Statistics & Risk Modeling. - De Gruyter. - Vol. 21.2003, 3/2003, p. 283-300
Publisher:	De Gruyter

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010751947