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.
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.