论文信息 - Change-Point Detection in Long-Memory Processes - 字舞流文

Change-Point Detection in Long-Memory Processes

We discuss some methods to test for possible changes in the parameters of a long-memory sequence. We obtain the limit distributions of the test statistics under the no-change null hypothesis. The consistency of the tests is also investigated.

Lajos Horváth | Lajos Horváth

[1] J. Beran. Statistical methods for data with long-range dependence , 1992 .

[2] D. L. Hawkins. A u-i approach to retrospective testing for shifting parameters in a linear model , 1989 .

[3] L. Horváth,et al. Weighted Approximations in Probability and Statistics , 1993 .

[4] L. Horváth,et al. Limit Theorems in Change-Point Analysis , 1997 .

[5] M. Taqqu. A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence , 1986 .

[6] M. Taqqu,et al. Dependence in Probability and Statistics , 1986 .

[7] Jan Beran,et al. Statistics for long-memory processes , 1994 .

[8] M. Taqqu,et al. Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series , 1986 .

[9] Lajos Horváth,et al. LIMIT THEOREMS FOR QUADRATIC FORMS WITH APPLICATIONS TO WHITTLE'S ESTIMATE , 1999 .

[10] D. Surgailis,et al. A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate , 1990 .

[11] P. Hall,et al. Martingale Limit Theory and its Application. , 1984 .

[12] Q. Shao,et al. Limit theorems for the union-intersection test , 1995 .

[13] Walter Willinger,et al. Long-range dependence in variable-bit-rate video traffic , 1995, IEEE Trans. Commun..

[14] Jan Beran,et al. Testing for a change of the long-memory parameter , 1996 .