Rates of convergence for the change-point estimator for long-range dependent sequences

Samir Ben Hariz and Jonathan J. Wylie

Statistics & Probability Letters, 2005, vol. 73, issue 2, 155-164

Abstract: We consider a cumulative sum estimator for the change-point of a (possibly) long-range dependent sequence with a shift in the mean. We show that the 1/n convergence rate typical of the independent case is also achieved for short-memory and long-memory sequences.

Keywords: Long-range; dependence; Change; point; Rates; of; convergence (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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