Testing for change points in time series models and limiting theorems for NED sequences
| dc.creator | Ling, Shiqing | |
| dc.date | 2007-08-17 | |
| dc.date.accessioned | 2026-07-07T08:24:39Z | |
| dc.date.available | 2026-07-07T08:24:39Z | |
| dc.description | 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. | |
| dc.description | Published at http://dx.doi.org/10.1214/009053606000001514 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0708.2369 | |
| dc.identifier | http://arxiv.org/abs/0708.2369 | |
| dc.identifier | Annals of Statistics 2007, Vol. 35, No. 3, 1213-1237 | |
| dc.identifier | doi:10.1214/009053606000001514 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/136409 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62F05, 62M10 (Primary); 60G10 (Secondary) | |
| dc.title | Testing for change points in time series models and limiting theorems for NED sequences | |
| dc.type | text |