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Descripción

We consider an estimator for the location of a shift in the mean of long-range dependent sequences. The estimation is based on the two-sample Wilcoxon statistic. Consistency and the rate of convergence for the estimated change point are established. In the case of a constant shift height, the $1/n$ convergence rate (with $n$ denoting the number of observations), which is typical under the assumption of independent observations, is also achieved for long memory sequences. It is proved that if the change point height decreases to $0$ with a certain rate, the suitably standardized estimator converges in distribution to a functional of a fractional Brownian motion. The estimator is tested on two well-known data sets. Finite sample behaviors are investigated in a Monte Carlo simulation study.

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Project Euclid (Hosted at Cornell University Library)  

Autor(es)

Betken, Annika - 

Id.: 70123570

Idioma: inglés  - 

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveChange point estimation - 

Tipo de recurso: Text  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

: Copyright 2017 The Institute of Mathematical Statistics and the Bernoulli Society

Formatos:  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] 1935-7524

Fecha de contribución: 08-dic-2017

Contacto:

Localización:
* Electron. J. Statist. 11, no. 2 (2017), 3633-3672
* doi:10.1214/17-EJS1323

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