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).
| Document 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 |
| DDC-classification: | 510 Mathematics |
| Schriftenreihe ID: | Beiträge zur Statistik > Beiträge |
