Invariance principles for changepoint problems
AbstractWe study the asymptotic behaviour of U-statistics type processes which can be used for detecting a changepoint of a random sequence. Invariance principles are proved for these processes.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 27 (1988)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Olmo, J. & Pouliot, W., 2008. "Early Detection Techniques for Market Risk Failure," Working Papers 08/09, Department of Economics, City University London.
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