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Limit theorems in change-point problems with multivariate long-range dependent observations

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  • Wang Lihong

Abstract

In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the mean of a set of multivariate long-range dependent observations. The limit theorems of weighted test statistics and weighted Lp-functionals of tests are developed. The limiting processes of these statistics are structurally different from those encountered in the independent or weakly dependent case.

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  • Wang Lihong, 2003. "Limit theorems in change-point problems with multivariate long-range dependent observations," Statistics & Risk Modeling, De Gruyter, vol. 21(3), pages 283-300, March.
    • Handle: RePEc:bpj:strimo:v:21:y:2003:i:3/2003:p:283-300:n:5
    DOI: 10.1524/stnd.21.3.283.23432
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    References listed on IDEAS

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    1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401, December.
    2. Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 1999. "Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes," Journal of Multivariate Analysis, Elsevier, vol. 68(1), pages 96-119, January.
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    Cited by:

    1. Lihong Wang & Jinde Wang, 2006. "Change-of-variance problem for linear processes with long memory," Statistical Papers, Springer, vol. 47(2), pages 279-298, March.
    2. Wang Lihong, 2005. "Change in non-parametric regression with long memory errors," Statistics & Risk Modeling, De Gruyter, vol. 23(2), pages 147-159, February.

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