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A note on estimating the change-point of a gradually changing stochastic process

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  • Aue, Alexander
  • Steinebach, Josef
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    Abstract

    We consider an estimator of the change-point of a stochastic process satisfying some weak invariance principles. Making use of the known asymptotics of the approximating Wiener processes we derive various limiting distributions according to different orders of magnitude of the underlying change. The results take into account, but also extend those of Husková (J. Statist. Plann. Infer. 76 (1999) 109-125), who studied a location model for gradual changes with independent, identically distributed (iid) errors. Aim of this note is to show that corresponding results hold also true in our more general setting.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 56 (2002)
    Issue (Month): 2 (January)
    Pages: 177-191

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    Handle: RePEc:eee:stapro:v:56:y:2002:i:2:p:177-191

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    Related research

    Keywords: Gradual change Change-point Location model Weak invariance principle Wiener process Limiting distribution Asymptotics;

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