Directly to content
  1. Publishing |
  2. Search |
  3. Browse |
  4. Recent items rss |
  5. Open Access |
  6. Jur. Issues |
  7. DeutschClear Cookie - decide language by browser settings

The Change-point Problem for Dependent Observations

Giraitis, Liudas ; Leipus, Remigijus ; Surgailis, Donatas

[thumbnail of beitrag.25.pdf]
PDF, English
Download (138kB) | Terms of use

Citation of documents: Please do not cite the URL that is displayed in your browser location input, instead use the DOI, URN or the persistent URL below, as we can guarantee their long-time accessibility.


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
About | FAQ | Contact | Imprint |
OA-LogoDINI certificate 2013Logo der Open-Archives-Initiative