Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Change-point Estimation of a Mean Shift in Moving-average Processes Under Dependence Assumptions

Change-point Estimation of a Mean Shift in Moving-average Processes Under Dependence Assumptions In this paper we discuss the least-square estimator of the unknown change point in a mean shift for moving-average processes of ALNQD sequence. The consistency and the rate of convergence for the estimated change point are established. The asymptotic distribution for the change point estimator is obtained. The results are also true for ρ-mixing, φ-mixing, α-mixing sequences under suitable conditions. These results extend those of Bai [1], who studied the mean shift point of a linear process of i.i.d. variables, and the condition $$ {\sum\limits_{j = 0}^\infty {j{\left| {a_{j} } \right|}} } < \infty $$ in Bai is weakened to $$ {\sum\limits_{j = 0}^\infty {{\left| {a_{j} } \right|}} } < \infty $$ . http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Change-point Estimation of a Mean Shift in Moving-average Processes Under Dependence Assumptions

Acta Mathematicae Applicatae Sinica , Volume 22 (4) – Jan 1, 2006

Loading next page...
 
/lp/springer-journals/change-point-estimation-of-a-mean-shift-in-moving-average-processes-toWkv5WyAP
Publisher
Springer Journals
Copyright
Copyright © 2006 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-0335-2
Publisher site
See Article on Publisher Site

Abstract

In this paper we discuss the least-square estimator of the unknown change point in a mean shift for moving-average processes of ALNQD sequence. The consistency and the rate of convergence for the estimated change point are established. The asymptotic distribution for the change point estimator is obtained. The results are also true for ρ-mixing, φ-mixing, α-mixing sequences under suitable conditions. These results extend those of Bai [1], who studied the mean shift point of a linear process of i.i.d. variables, and the condition $$ {\sum\limits_{j = 0}^\infty {j{\left| {a_{j} } \right|}} } < \infty $$ in Bai is weakened to $$ {\sum\limits_{j = 0}^\infty {{\left| {a_{j} } \right|}} } < \infty $$ .

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jan 1, 2006

References