You are here: Home :: Area NEM :: Mathematics :: Stochastics :: Statistics

Lihong Wang

Limit theorems in change-point problems with multivariate long-range dependent observations

In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the mean of a set of multivariate long-range dependent observations. The limit theorems of weighted test statistics and weighted L_p-functionals of tests are developed. The limiting processes of these statistics are structurally different from those encountered in the independent or weakly dependent case.

Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Print ISSN: 0721-2631
Volume: 21, 03/2003
Pages: 283

Journal homepage (external site)

Show all available items of this journal

 

Area NEM