Rates of convergence for the change-point estimator for long-range dependent sequences

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Overview

12 Scopus Citations

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Author(s)

Samir Ben Hariz
Jonathan J. Wylie

Related Research Unit(s)

City University of Hong Kong

Detail(s)

Original language	English
Pages (from-to)	155-164
Journal / Publication	Statistics and Probability Letters
Volume	73
Issue number	2
Publication status	Published - 15 Jun 2005

Link(s)

DOI	DOI https://doi.org/10.1016/j.spl.2005.03.008 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-20444464468&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(e6fa109d-9914-4173-b339-a8088157fa53).html

Abstract

We consider a cumulative sum estimator for the change-point of a (possibly) long-range dependent sequence with a shift in the mean. We show that the 1/n convergence rate typical of the independent case is also achieved for short-memory and long-memory sequences. © 2005 Elsevier B.V. All rights reserved.

Research Area(s)

Change point, Long-range dependence, Rates of convergence

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Publication fingerprints text

Change point Mathematics

Rate of convergence Mathematics

Estimator Mathematics

Cumulative sum Mathematics

Dependent Mathematics

Long memory Mathematics

Range of data Mathematics

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Citation Format(s)

[ RIS ] [ BibTeX ]

Rates of convergence for the change-point estimator for long-range dependent sequences. / Hariz, Samir Ben; Wylie, Jonathan J.
In: Statistics and Probability Letters, Vol. 73, No. 2, 15.06.2005, p. 155-164.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Hariz, SB & Wylie, JJ 2005, 'Rates of convergence for the change-point estimator for long-range dependent sequences', Statistics and Probability Letters, vol. 73, no. 2, pp. 155-164. https://doi.org/10.1016/j.spl.2005.03.008

Hariz, S. B., & Wylie, J. J. (2005). Rates of convergence for the change-point estimator for long-range dependent sequences. Statistics and Probability Letters, 73(2), 155-164. https://doi.org/10.1016/j.spl.2005.03.008

Hariz SB, Wylie JJ. Rates of convergence for the change-point estimator for long-range dependent sequences. Statistics and Probability Letters. 2005 Jun 15;73(2):155-164. doi: 10.1016/j.spl.2005.03.008

Hariz, Samir Ben ; Wylie, Jonathan J. / Rates of convergence for the change-point estimator for long-range dependent sequences. In: Statistics and Probability Letters. 2005 ; Vol. 73, No. 2. pp. 155-164.