On discriminating between long-range dependence and changes in mean

Annals of Statistics

Volumn 34, Issue 3, 2006, Pages 1140-1165

  Berkes, István ^a,b,g   Horváth, Lajos ^c   Kokoszka, Piotr ^d   Shao, Q I Man ^e,f  

^a GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

^b ALFRÉD RÉNYI INSTITUTE OF MATHEMATICS   (Hungary)

^c UNIVERSITY OF UTAH   (United States)

^d UTAH STATE UNIVERSITY   (United States)

^e UNIVERSITY OF OREGON   (United States)

^f HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^g INSTITUTE OF EXPERIMENTAL MEDICINE   (Hungary)

Author keywords

Change point in mean; CUSUM; Long range dependence; Variance of the mean

Indexed keywords

EID: 33645015342     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053606000000254     Document Type: Article

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