Change-point detection in the marginal distribution of a linear process
Source of Publication
Electronic Journal of Statistics
© 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.
Institute of Mathematical Statistics
Causal linear process, Change-point, Sequential empirical process
El Ktaibi, Farid and Ivanoff, B. Gail, "Change-point detection in the marginal distribution of a linear process" (2016). All Works. 866.
Indexed in Scopus
Open Access Type
Gold: This publication is openly available in an open access journal/series