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July 2007 Testing for change points in time series models and limiting theorems for NED sequences
Shiqing Ling
Ann. Statist. 35(3): 1213-1237 (July 2007). DOI: 10.1214/009053606000001514

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.

Citation

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Shiqing Ling. "Testing for change points in time series models and limiting theorems for NED sequences." Ann. Statist. 35 (3) 1213 - 1237, July 2007. https://doi.org/10.1214/009053606000001514

Information

Published: July 2007
First available in Project Euclid: 24 July 2007

zbMATH: 1194.62017
MathSciNet: MR2341704
Digital Object Identifier: 10.1214/009053606000001514

Subjects:
Primary: 62F05, 62M10
Secondary: 60G10

Rights: Copyright © 2007 Institute of Mathematical Statistics

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Vol.35 • No. 3 • July 2007
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