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The Change-point Problem for Dependent Observations

Giraitis, Liudas ; Leipus, Remigijus ; Surgailis, Donatas

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Abstract

We consider the change-point problem for the marginal distributionfunction of a strictly stationary time series. Asymptotic behavior ofKolmogorov-Smirnov type tests and estimators of the change point is studiedunder the null-hypothesis and converging alternatives. The discussion is basedon a general empirical process' approach which enables a unified treatment ofboth short memory (weakly dependent) and long memory time series. In particular,the case of a long memory moving average process is studied, using recentresults of Giraitis and Surgailis (1994).

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 13 Jun 2016 09:00
Date: December 1994
Number of Pages: 15
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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