Limit results for \(L^p\) functionals of weighted CUSUM processes

DOI10.1007/978-3-031-04137-2_6zbMath1497.62234arXiv2010.02476OpenAlexW3091791081MaRDI QIDQ2087065

Gregory Rice, Lajos Horváth

Publication date: 26 October 2022

Full work available at URL: https://arxiv.org/abs/2010.02476

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25)

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Testing for changes in linear models using weighted residuals

Cites Work

• Convergence of integrals of uniform empirical and quantile processes
• Komlós-Major-Tusnády approximation under dependence
• Extensions of some classical methods in change point analysis
• Weak dependence. With examples and applications.
• Structural breaks in time series
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