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

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Original languageEnglish
Pages (from-to)155-164
Journal / PublicationStatistics and Probability Letters
Issue number2
Publication statusPublished - 15 Jun 2005


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