Title

Change-point detection in the marginal distribution of a linear process

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.

ISSN

1935-7524

Publisher

Institute of Mathematical Statistics

Volume

10

Issue

2

First Page

3945

Last Page

3985

Disciplines

Life Sciences

Keywords

Causal linear process, Change-point, Sequential empirical process

Scopus ID

85006293339

Indexed in Scopus

yes

Open Access

yes

Open Access Type

Gold: This publication is openly available in an open access journal/series

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