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On Epidemic Change Point Detection Under Strong Mixing Conditions

In: Asymptotic and Methodological Statistics

Author

Listed:
  • István Berkes

    (A. Rényi Institute of Mathematics)

  • Siegfried Hörmann

    (Graz University of Technology, Institute of Statistics)

Abstract

This paper aims to analyse epidemic shifts in the mean of a time series. Here, an epidemic refers to a contiguous segment of observations within the sample where the mean shift occurs. The limiting law of our test statistic is obtained by a novel almost sure approximation for $$\alpha $$ α -mixing processes. The precision of the remainder term in our approximation ensures that our test remains consistent even when the epidemic’s duration scales logarithmically with the sample size.

Suggested Citation

  • István Berkes & Siegfried Hörmann, 2026. "On Epidemic Change Point Detection Under Strong Mixing Conditions," Springer Books, in: Daniel Hlubinka & Šárka Hudecová & Matúš Maciak & Michal Pešta (ed.), Asymptotic and Methodological Statistics, chapter 0, pages 3-20, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-07178-1_1
    DOI: 10.1007/978-3-032-07178-1_1
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