The CUSUM statistics of change-point models based on dependent sequences
© 2021 Informa UK Limited, trading as Taylor & Francis Group.
| Veröffentlicht in: | Journal of applied statistics. - 1991. - 49(2022), 10 vom: 07., Seite 2593-2611 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2022
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| Zugriff auf das übergeordnete Werk: | Journal of applied statistics |
| Schlagworte: | Journal Article 62F12 CUSUM statistics associated sequences change-points convergence rate limit distribution |
| Zusammenfassung: | © 2021 Informa UK Limited, trading as Taylor & Francis Group. 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 δ n is satisfied or dissatisfied n 1 / 2 δ n = 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 |
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| Beschreibung: | Date Revised 27.06.2022 published: Electronic-eCollection Citation Status PubMed-not-MEDLINE |
| ISSN: | 0266-4763 |
| DOI: | 10.1080/02664763.2021.1913104 |