Estimating non-simultaneous changes in the mean of vectors

Daniela Jarušková ()
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Daniela Jarušková: Czech Technical University

Metrika: International Journal for Theoretical and Applied Statistics, 2018, vol. 81, issue 6, No 7, 743 pages

Abstract: Abstract A sequence of independent vectors with correlated components is considered. It is supposed that there is one change point in the mean of each component and changes need not occur simultaneously. The asymptotic distribution of the change point estimators is studied. If the true change points are well separated, the explicit asymptotic distribution of the change point estimators is presented. In the case the true change points coincide, it is shown that the limit distribution of properly standardized change points estimates exists. It depends not only on the underlying time series dependence structure, but also on the ratio of the sizes of the changes. The asymptotic distribution function is not known, but due to the invariance principle it can be obtained by simulations.

Keywords: Shifts in mean of vectors; Correlated components; Estimators of change points; Asymptotic distribution (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00184-018-0671-2

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