Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences

DOI10.1214/009053606000001596zbMath1147.62043arXiv0710.4217OpenAlexW3103525646MaRDI QIDQ2456021

Samir Ben Hariz, Qiang Zhang, Jonathan J. Wylie

Publication date: 17 October 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.4217

zbMATH Keywords

consistencylong-range dependenceshort-range dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

Related Items (19)

Statistical tests for a single change in mean against long-range dependence ⋮ Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process ⋮ A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data ⋮ On change-point estimation under Sobolev sparsity ⋮ Cumulative sum estimator for change-point in panel data ⋮ Estimation of a jump point in random design regression ⋮ Change-point detection for continuous processes with high-frequency sampling ⋮ Detecting relevant changes in the spatiotemporal mean function ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ Change-point detection for long-range dependent sequences in a general setting ⋮ Posterior convergence and model estimation in Bayesian change-point problems ⋮ Estimating change points in nonparametric time series regression models ⋮ Non-parametric change-point estimation using string matching algorithms ⋮ LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL ⋮ On parameter estimation for locally stationary long-memory processes ⋮ Detection of change-points near the end points of long-range dependent sequences ⋮ Variance Change Point Detection Under a Smoothly-Changing Mean Trend with Application to Liver Procurement ⋮ Inference for single and multiple change-points in time series ⋮ Statistical inference for the slope parameter in functional linear regression

Cites Work

• Unnamed Item
• Unnamed Item
• The effect of long-range dependence on change-point estimators
• Nonparametric change-point estimation
• The asymptotic behavior of some nonparametric change-point estimators
• Time series: theory and methods.
• Change-point in the mean of dependent observations
• On the rate of almost sure convergence of Dümbgen's change-point estimators
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Weak convergence and empirical processes. With applications to statistics
• The change-point problem for dependent observations
• Rates of convergence for the change-point estimator for long-range dependent sequences
• Moment inequalities and the strong laws of large numbers
• Boundary estimation based on set-indexed empirical processes
• Exponential and polynomial tailbounds for change-point estimators

This page was built for publication: Optimal rate of convergence for nonparametric change-point estimators for nonstationary sequences