Document Type
Article
Source of Publication
Electronic Journal of Statistics
Publication Date
1-1-2016
Abstract
© 2016, Institute of Mathematical Statistics. All rights reserved. The subject of this paper is the detection of a change in the marginal distribution of a stationary linear process. By considering the marginal distribution, the change-point model can simultaneously incorporate any change in the coefficients and/or the innovations of the linear process. Furthermore, the change point can be random and data dependent. The key is an analysis of the asymptotic behaviour of the sequential empirical process, both with and without a change point. Our results hold under very mild conditions on the existence of any moment of the innovations and a corresponding condition of summability of the coefficients.
DOI Link
ISSN
Publisher
Institute of Mathematical Statistics
Volume
10
Issue
2
First Page
3945
Last Page
3985
Disciplines
Physical Sciences and Mathematics
Keywords
Causal linear process, Change-point, Sequential empirical process
Scopus ID
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
El Ktaibi, Farid and Ivanoff, B. Gail, "Change-point detection in the marginal distribution of a linear process" (2016). All Works. 866.
https://zuscholars.zu.ac.ae/works/866
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Gold: This publication is openly available in an open access journal/series