This paper considers a mean shift with an unknown shift point in a linear process and estimates the unknown shift point (change point) by the method of least squares. Pre-shift and post-shift means are estimated concurrently with the change point. The consistency and the rate of convergence for...

A discussion is given of some time series models driven by iid noise having a discrete component. In the case of autoregressive processes, estimates can be formulated which, with probability one, are equal to the true parameter values for a large enough sample. Remarks on the contiguity of the...