Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions

DOI10.1007/s10255-006-0335-2zbMath1106.62097OpenAlexW2115975815MaRDI QIDQ861410

Yun Xia Li

Publication date: 29 January 2007

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-006-0335-2

zbMATH Keywords

rate of convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Point estimation (62F10)

Related Items (3)

Limit distribution for products of sums of partial sums of linear processes generated by NSD sequence ⋮ The limit theorem for dependent random variables with applications to autoregression models ⋮ Asymptotic Distribution for Products of Sums of Linear Processes Under Dependence

Cites Work

• 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
• Multiple change-points estimation of moving-average processes under dependence assumptions
• Testing and estimating change-points in time series
• Confidence regions and tests for a change-point in a sequence of exponential family random variables
• Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
• Tests for a change-point
• Change‐Point Estimation of Fractionally Integrated Processes
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Inference about the change-point in a sequence of binomial variables
• Central limit theorems for asymptotically negatively associated random fields
• A functional central limit theorem for asymptotically negatively dependent random fields

This page was built for publication: Change-point estimation of a mean shift in moving-average processes under dependence assump\-tions