The CUSUM statistics of change-point models based on dependent sequences

Saisai Ding, Hongyan Fang, Xiang Dong and Wenzhi Yang

Journal of Applied Statistics, 2022, vol. 49, issue 10, 2593-2611

Abstract: In this paper, we investigate the mean change-point models based on associated sequences. Under some weak conditions, we obtain a limit distribution of CUSUM statistic which can be used to judge the mean change-mount $ \delta_n $ δn is satisfied or dissatisfied $ n^{1/2}\delta_n=o(1) $ n1/2δn=o(1). We also study the consistency of sample covariances and change-point location statistics. Based on Normality and Lognormality data, some simulations such as empirical sizes, empirical powers and convergence are presented to test our results. As an important application, we use CUSUM statistics to do the mean change-point analysis for a financial series.

Date: 2022
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DOI: 10.1080/02664763.2021.1913104

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