Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations

DOI10.1080/03610920500439182zbMath1088.62036OpenAlexW2048737448MaRDI QIDQ5201471

Zheng Tian, Sier Han

Publication date: 19 April 2006

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920500439182

zbMATH Keywords

heavy-tailschange-point estimationHájek-Rényi inequality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

Related Items (5)

A strong convergence rate of estimator of variance change in linear processes and its applications ⋮ Truncating estimation for the change in stochastic trend with heavy-tailed innovations ⋮ A robust test for mean change in dependent observations ⋮ Strong convergence rate of robust estimator of change point ⋮ Inference for mean change-point in infinite variance \(AR(p)\) process

Cites Work

• Unnamed Item
• Unnamed Item
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• Change-point in the mean of dependent observations
• Change-point estimation in ARCH models
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Subsampling the mean of heavy‐tailed dependent observations
• Inference about the change-point in a sequence of random variables

This page was built for publication: Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations