The change-point problem for dependent observations
Journal of Statistical Planning and InferencePublished 1 August 1996Open access
Liudas Giraitis, Remigijus Leipus, Донатас Сургайлис
Citations69
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Abstract
We consider the change-point problem for the marginal distributionfunction of a strictly stationary time series. Asymptotic behavior ofKolmogorov-Smirnov type tests and estimators of the change point is studiedunder the null-hypothesis and converging alternatives. The discussion is basedon a general empirical process' approach which enables a unified treatment ofboth short memory (weakly dependent) and long memory time series. In particular,the case of a long memory moving average process is studied, using recentresults of Giraitis and Surgailis (1994).
Keywords
MathematicsEconomics, Econometrics and Finance
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