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Change-point in the mean of dependent observations

Author

Listed:
  • Kokoszka, Piotr
  • Leipus, Remigijus

Abstract

We prove the consistency of a family of CUSUM-type estimators of the point of change in the mean of dependent observations and derive the rates of convergence. The result is valid under weak assumptions on the dependence structure.

Suggested Citation

  • Kokoszka, Piotr & Leipus, Remigijus, 1998. "Change-point in the mean of dependent observations," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 385-393, November.
    • Handle: RePEc:eee:stapro:v:40:y:1998:i:4:p:385-393
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    References listed on IDEAS

    as
    1. Jushan Bai, 1994. "Least Squares Estimation Of A Shift In Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 453-472, September.
    2. Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 271-283, June.
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