The Annals of Statistics

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

Shiqing Ling

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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

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

First available in Project Euclid: 24 July 2007

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

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


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.

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