The Annals of Statistics

Testing for change points in time series models and limiting theorems for NED sequences

Shiqing Ling

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Abstract

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.

Article information

Source
Ann. Statist., Volume 35, Number 3 (2007), 1213-1237.

Dates
First available in Project Euclid: 24 July 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1185304004

Digital Object Identifier
doi:10.1214/009053606000001514

Mathematical Reviews number (MathSciNet)
MR2341704

Zentralblatt MATH identifier
1194.62017

Subjects
Primary: 62F05: Asymptotic properties of tests 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 60G10: Stationary processes

Keywords
Change-point long-memory FARIMA strong invariance principle strong law of large numbers Wald test

Citation

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


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