A note on estimating the change-point of a gradually changing stochastic process
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Publication:1612988
DOI10.1016/S0167-7152(01)00184-5zbMath1065.62149OpenAlexW2052458743MaRDI QIDQ1612988
Alexander Aue, Josef G. Steinebach
Publication date: 5 September 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00184-5
Wiener processAsymptoticsLimiting distributionChange-pointLocation modelGradual changeWeak invariance principle
Related Items (10)
Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes ⋮ Monitoring a Bernoulli process subject to gradual changes in the success rates of a sequence of Bernoulli random variables ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series ⋮ Parameter Estimation of Some NHPP Software Reliability Models with Change-Point ⋮ Monitoring a Poisson process subject to gradual changes in the arrival rates ⋮ On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process ⋮ Monitoring a Poisson process subject to gradual changes in the arrival rates where the arrival rates are unknown ⋮ Detecting gradual changes in locally stationary processes ⋮ Smooth change point estimation in regression models with random design
Cites Work
- A limit theorem for the maximum of normalized sums of independent random variables
- Gradual changes versus abrupt changes.
- Testing appearance of linear trend
- Testing for changes in the mean or variance of a stochastic process under weak invariance
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