Strong convergence rates of multiple change-point estimator for ρ-mixing sequence

Yuncai Yu and Zhicheng Chen

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 13, 4605-4621

Abstract: We consider the detection of multiple change-points for ρ-mixing sequence. A CUSUM-type method is proposed to estimate the multiple mean change-points and the strong consistency of the multiple mean change-point estimation is proved when the number of change-point is known. Furthermore, we establish the strong convergence rate of this change-point estimation under mild conditions and simulations of multiple change-point detection are also presented.

Date: 2023
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DOI: 10.1080/03610926.2021.1998532

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