Change-point in the mean of dependent observations

被引：92

作者：

Kokoszka, P ^{[1
]}

Leipus, R ^{[1
]}

机构：

[1] Univ Liverpool, Dept Math Sci, Liverpool L69 3BX, Merseyside, England

来源：

STATISTICS & PROBABILITY LETTERS | 1998年 / 40卷 / 04期

关键词：

change-point estimation; dependent observations; Hajek-Renyi inequality;

D O I：

10.1016/S0167-7152(98)00145-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove the consistency of a family of CUSUM-type estimators of the point of change in the mean of dependent observations and derive the rates of convergence. The result is valid under weak assumptions on the dependence structure. (C) 1998 Elsevier Science B.V. All rights reserved. AMS classification: 62M10; 62F10.

引用

页码：385 / 393

页数：9

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