The Annals of Statistics
- Ann. Statist.
- Volume 35, Number 3 (2007), 1213-1237.
Testing for change points in time series models and limiting theorems for NED sequences
This paper first establishes a strong law of large numbers and a strong invariance principle for forward and backward sums of near-epoch dependent sequences. Using these limiting theorems, we develop a general asymptotic theory on the Wald test for change points in a general class of time series models under the no change-point hypothesis. As an application, we verify our assumptions for the long-memory fractional ARIMA model.
Ann. Statist., Volume 35, Number 3 (2007), 1213-1237.
First available in Project Euclid: 24 July 2007
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Ling, Shiqing. Testing for change points in time series models and limiting theorems for NED sequences. Ann. Statist. 35 (2007), no. 3, 1213--1237. doi:10.1214/009053606000001514. https://projecteuclid.org/euclid.aos/1185304004