Limit theorems in change-point problems with multivariate long-range dependent observations

Wang Lihong

Statistics & Risk Modeling, 2003, vol. 21, issue 3, 283-300

Abstract: In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the mean of a set of multivariate long-range dependent observations. The limit theorems of weighted test statistics and weighted Lp-functionals of tests are developed. The limiting processes of these statistics are structurally different from those encountered in the independent or weakly dependent case.

Date: 2003
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DOI: 10.1524/stnd.21.3.283.23432

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