Change-point in the mean of dependent observations
We prove the consistency of a family of CUSUM-type estimators of the point of change in the mean of dependent observations and derive the rates of convergence. The result is valid under weak assumptions on the dependence structure.
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Volume (Year): 40 (1998)
Issue (Month): 4 (November)
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- Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 271-283, June.