메뉴 건너뛰기




Volumn 53, Issue 3, 1996, Pages 297-310

The change-point problem for dependent observations

Author keywords

Change point problem; Empirical processes; Kolmogorov Smirnov test; Long memory

Indexed keywords


EID: 0030606764     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-3758(95)00148-4     Document Type: Article
Times cited : (45)

References (35)
  • 2
    • 84972520545 scopus 로고
    • Statistical methods for data with long-range dependence
    • Beran, J. (1992). Statistical methods for data with long-range dependence (with discussions). Statist. Sci. 7, 404-427.
    • (1992) Statist. Sci. , vol.7 , pp. 404-427
    • Beran, J.1
  • 4
    • 0000718160 scopus 로고
    • Slowly decaying correlations, testing normality, nuisance parameters
    • Beran, J. and S. Ghosh (1991). Slowly decaying correlations, testing normality, nuisance parameters. J. Amer. Statist. Assoc. 86, 785-791.
    • (1991) J. Amer. Statist. Assoc. , vol.86 , pp. 785-791
    • Beran, J.1    Ghosh, S.2
  • 5
    • 0001726155 scopus 로고
    • An almost sure invariance principle for the empirical distribution function of mixing random variables
    • Berkes, I. and W. Philipp (1977). An almost sure invariance principle for the empirical distribution function of mixing random variables. Z. Wahrsch. Verw. Geb. 41, 115-137.
    • (1977) Z. Wahrsch. Verw. Geb. , vol.41 , pp. 115-137
    • Berkes, I.1    Philipp, W.2
  • 6
    • 0000472754 scopus 로고
    • Convergence criteria for multiparameter stochastic processes and some applications
    • Bickel, P.J. and M.J. Wichura (1971). Convergence criteria for multiparameter stochastic processes and some applications. Ann. Math. Statist. 42, 1656-1670.
    • (1971) Ann. Math. Statist. , vol.42 , pp. 1656-1670
    • Bickel, P.J.1    Wichura, M.J.2
  • 7
  • 8
    • 0001235246 scopus 로고
    • Nonparametric change-point estimation
    • Carlstein, E. (1988). Nonparametric change-point estimation. Ann. Statist. 16, 188-197.
    • (1988) Ann. Statist. , vol.16 , pp. 188-197
    • Carlstein, E.1
  • 9
    • 0011584806 scopus 로고
    • Nonparametric change-point estimation for data from an ergodic sequence
    • Carlstein, E. and S. Lele (1993). Nonparametric change-point estimation for data from an ergodic sequence. Theory Probab. Appl. 38, 910-917.
    • (1993) Theory Probab. Appl. , vol.38 , pp. 910-917
    • Carlstein, E.1    Lele, S.2
  • 10
    • 0000135971 scopus 로고
    • Limit behaviour of the empirical characteristic function
    • Csörgö, S. (1981). Limit behaviour of the empirical characteristic function. Ann. Probab. 9, 130-144.
    • (1981) Ann. Probab. , vol.9 , pp. 130-144
    • Csörgö, S.1
  • 11
    • 70350341223 scopus 로고
    • Nonparametric methods for the change-point problems
    • P.R. Krishnaiah and C.R. Rao, Eds. Elsevier, Amsterdam
    • Csörgö, M. and L. Horváth (1988). Nonparametric methods for the change-point problems. In: P.R. Krishnaiah and C.R. Rao, Eds., Handbook of Statistics, Vol. 7. Elsevier, Amsterdam, 403-425.
    • (1988) Handbook of Statistics, Vol. 7 , vol.7 , pp. 403-425
    • Csörgö, M.1    Horváth, L.2
  • 12
    • 0011522964 scopus 로고
    • Applications of multitime parameter processes to change-point analysis
    • B. Grigelionis et al, Eds., TEV - VSP, Vilnius - Utrecht
    • Csörgö, M. and B. Szyszkowicz (1994). Applications of multitime parameter processes to change-point analysis. In: B. Grigelionis et al, Eds., Probab. Theory and Mathematical Statistics, Proc. 6th Vilnius Conference, 1993., TEV - VSP, Vilnius - Utrecht, 159-222.
    • (1994) Probab. Theory and Mathematical Statistics, Proc. 6th Vilnius Conference, 1993 , pp. 159-222
    • Csörgö, M.1    Szyszkowicz, B.2
  • 13
    • 0001288627 scopus 로고
    • A non-parametric method for the a posteriori detection of the "disorder" time of a sequence of independent random variables
    • Darkhovsky, B.S. (1976). A non-parametric method for the a posteriori detection of the "disorder" time of a sequence of independent random variables. Theory Probab. Appl. 21, 178-183.
    • (1976) Theory Probab. Appl. , vol.21 , pp. 178-183
    • Darkhovsky, B.S.1
  • 14
    • 0001627705 scopus 로고
    • The empirical process of some long-range dependent sequences with an application to U -statistics
    • Dehling, H. and M.S. Taqqu (1989). The empirical process of some long-range dependent sequences with an application to U -statistics. Ann. Statist. 17, 1767-1783.
    • (1989) Ann. Statist. , vol.17 , pp. 1767-1783
    • Dehling, H.1    Taqqu, M.S.2
  • 15
    • 0002302475 scopus 로고
    • Off-line statistical analysis of change-point models using non parametric and likelihood methods
    • M. Basseville and A. Benveniste, Eds. Springer, Berlin
    • Deshayes, J. and D. Picard (1986). Off-line statistical analysis of change-point models using non parametric and likelihood methods. In: M. Basseville and A. Benveniste, Eds., Detection of Abrupt Changes in Signals and Dynamical Systems, Lecture Notes Cont. Inf. Sci., Vol. 77. Springer, Berlin, 103-168.
    • (1986) Detection of Abrupt Changes in Signals and Dynamical Systems, Lecture Notes Cont. Inf. Sci., Vol. 77 , vol.77 , pp. 103-168
    • Deshayes, J.1    Picard, D.2
  • 16
    • 0001634361 scopus 로고
    • The asymptotic behavior of some nonparametric change-point estimators
    • Dümbgen, L. (1991). The asymptotic behavior of some nonparametric change-point estimators. Ann. Statist. 19, 1471-1495.
    • (1991) Ann. Statist. , vol.19 , pp. 1471-1495
    • Dümbgen, L.1
  • 17
    • 38149147470 scopus 로고
    • Change-point estimators in case of small disorders
    • Ferger, D. (1994a). Change-point estimators in case of small disorders. J. Statist. Plann. Inference 40, 33-49.
    • (1994) J. Statist. Plann. Inference , vol.40 , pp. 33-49
    • Ferger, D.1
  • 18
    • 0002379327 scopus 로고
    • On the rate of almost sure convergence of Dümbgen's change-point estimators
    • Ferger, D. (1994b). On the rate of almost sure convergence of Dümbgen's change-point estimators. Statist. Probab. Lett. 19, 27-31.
    • (1994) Statist. Probab. Lett. , vol.19 , pp. 27-31
    • Ferger, D.1
  • 19
    • 0000229555 scopus 로고
    • Convergence of changepoint estimators
    • Ferger, D. and W. Stute (1992). Convergence of changepoint estimators. Stochastic. Proc. Appl. 42, 345-351.
    • (1992) Stochastic. Proc. Appl. , vol.42 , pp. 345-351
    • Ferger, D.1    Stute, W.2
  • 20
    • 84988137794 scopus 로고
    • An efficiency result for the empirical characteristic function in stationary time-series models
    • Feuerverger, A. (1990). An efficiency result for the empirical characteristic function in stationary time-series models. Canad. J. Statist. 18, 155-161.
    • (1990) Canad. J. Statist. , vol.18 , pp. 155-161
    • Feuerverger, A.1
  • 21
    • 0002054359 scopus 로고
    • The empirical characteristic function and its applications
    • Feuerverger, A. and R.A. Mureika (1977). The empirical characteristic function and its applications. Ann. Statist. 5, 88-97.
    • (1977) Ann. Statist. , vol.5 , pp. 88-97
    • Feuerverger, A.1    Mureika, R.A.2
  • 23
    • 33746395956 scopus 로고
    • Testing and estimating in the change-point problem for the spectral function
    • Giraitis, L. and R. Leipus (1992). Testing and estimating in the change-point problem for the spectral function. Lithuanian Math. J. 32, 20-38.
    • (1992) Lithuanian Math. J. , vol.32 , pp. 20-38
    • Giraitis, L.1    Leipus, R.2
  • 24
    • 0001898682 scopus 로고
    • A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
    • Giraitis, L. and D. Surgailis (1990). A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate. Probab. Theory Related Fields 86, 87-104.
    • (1990) Probab. Theory Related Fields , vol.86 , pp. 87-104
    • Giraitis, L.1    Surgailis, D.2
  • 25
    • 0003201286 scopus 로고
    • Asymptotics of the empirical process of a long memory linear sequence
    • Universität Heidelberg
    • Giraitis, L. and D. Surgailis (1994). Asymptotics of the empirical process of a long memory linear sequence. Beiträge zur Statistik, 24. Universität Heidelberg.
    • (1994) Beiträge zur Statistik , vol.24
    • Giraitis, L.1    Surgailis, D.2
  • 26
    • 84986792205 scopus 로고
    • An introduction to long-memory time series models and fractional differencing
    • Granger, C.W. and R. Joyeux (1980). An introduction to long-memory time series models and fractional differencing. J. Time Series Anal. 1, 15-29.
    • (1980) J. Time Series Anal. , vol.1 , pp. 15-29
    • Granger, C.W.1    Joyeux, R.2
  • 27
    • 0002805784 scopus 로고
    • Retrospective and sequential tests for a change in distribution based on Kolmogorov - Smirnov-type statistics
    • Hawkins, D.L. (1988). Retrospective and sequential tests for a change in distribution based on Kolmogorov - Smirnov-type statistics. Seq. Anal. 7, 23-51.
    • (1988) Seq. Anal. , vol.7 , pp. 23-51
    • Hawkins, D.L.1
  • 28
    • 77956890381 scopus 로고
    • Fractional differencing
    • Hosking, J.R.M. (1981). Fractional differencing. Biometrika 68, 165-176.
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, J.R.M.1
  • 29
    • 0001653441 scopus 로고
    • Functional limit theorems for linear statistics from sequential ranks
    • Khmaladze, E.V. and A.M. Patjanadze (1986). Functional limit theorems for linear statistics from sequential ranks. Probab. Theory Related Fields 73, 585-595.
    • (1986) Probab. Theory Related Fields , vol.73 , pp. 585-595
    • Khmaladze, E.V.1    Patjanadze, A.M.2
  • 30
    • 84968515060 scopus 로고
    • Semi-stable stochastic processes
    • Lamperti, J. (1962). Semi-stable stochastic processes. Trans. Amer. Math. Soc. 104, 62-78.
    • (1962) Trans. Amer. Math. Soc. , vol.104 , pp. 62-78
    • Lamperti, J.1
  • 31
    • 0011524331 scopus 로고
    • Weak convergence of two parameter empirical fields in change-point problems
    • Leipus, R. (1988). Weak convergence of two parameter empirical fields in change-point problems. Lithuanian Math. J. 28, 716-723.
    • (1988) Lithuanian Math. J. , vol.28 , pp. 716-723
    • Leipus, R.1
  • 32
    • 0011524580 scopus 로고
    • On the asymptotic theory of statistics from sequential ranks
    • Pardzhanadze, A.M. and E.V. Khmaladze (1986). On the asymptotic theory of statistics from sequential ranks. Theory Probab. Appl. 31, 669-682.
    • (1986) Theory Probab. Appl. , vol.31 , pp. 669-682
    • Pardzhanadze, A.M.1    Khmaladze, E.V.2
  • 33
    • 0001529844 scopus 로고
    • Testing and estimating change-points in time series
    • Picard, D. (1985). Testing and estimating change-points in time series. Adv.Appl. Probab. 17, 841-867.
    • (1985) Adv.Appl. Probab. , vol.17 , pp. 841-867
    • Picard, D.1
  • 34
    • 38149145640 scopus 로고
    • Weak convergence of weighted empirical type processes under contiguous and changepoint alternatives
    • Szyszkowicz, B. (1994). Weak convergence of weighted empirical type processes under contiguous and changepoint alternatives. Stochastic Process Appl. 50, 281-313.
    • (1994) Stochastic Process Appl. , vol.50 , pp. 281-313
    • Szyszkowicz, B.1
  • 35
    • 34250409798 scopus 로고
    • Weak convergence to fractional Brownian motion and to the Rosenblatt process
    • Taqqu, M.S. (1975). Weak convergence to fractional Brownian motion and to the Rosenblatt process. Z. Wahrsch. Verw. Geb. 31, 287-302.
    • (1975) Z. Wahrsch. Verw. Geb. , vol.31 , pp. 287-302
    • Taqqu, M.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.