Rates of convergence for the change-point estimator for long-range dependent sequences

We consider a cumulative sum estimator for the change-point of a (possibly) long-range dependent sequence with a shift in the mean. We show that the 1/n convergence rate typical of the independent case is also achieved for short-memory and long-memory sequences.

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Year of publication:	2005
Authors:	Hariz, Samir Ben ; Wylie, Jonathan J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 2, p. 155-164
Publisher:	Elsevier
Keywords:	Long-range dependence Change point Rates of convergence

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

Persistent link: https://www.econbiz.de/10005211803