Strong approximation for RCA(1) time series with applications
AbstractIn this paper, we derive a strong invariance principle for the partial sums of RCA(1) random variables. An application yields asymptotic tests for a change in the mean of the observations both for sequential and a posteriori procedures based on CUSUMs.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 68 (2004)
Issue (Month): 4 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(2), pages 271-283, June.
- Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
- Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September.
- Mihalache, Stefan, 2012. "Strong approximations and sequential change-point analysis for diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 464-472.
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