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Strong approximation for RCA(1) time series with applications

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  • Aue, Alexander
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    Abstract

    In 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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4CDJGVF-1/2/661d0b6bc9caf16b83fc24d147b227b7
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    Bibliographic Info

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

    Volume (Year): 68 (2004)
    Issue (Month): 4 (July)
    Pages: 369-382

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    Handle: RePEc:eee:stapro:v:68:y:2004:i:4:p:369-382

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    Related research

    Keywords: RCA time series Strong invariance principles CUSUM test Sequential procedure a posteriori tests;

    References

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    1. Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(2), pages 271-283, June.
    2. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
    3. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September.
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    Cited by:
    1. 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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