Bootstrapping confidence intervals for the change-point of time series
| dc.creator | Huskova, Marie | |
| dc.creator | Kirch, Claudia | |
| dc.date | 2007-06-11 | |
| dc.date.accessioned | 2026-07-07T10:13:43Z | |
| dc.date.available | 2026-07-07T10:13:43Z | |
| dc.description | We study an AMOC time series model with an abrupt change in the mean and dependent errors that fulfill certain mixing conditions. We obtain confidence intervals for the unknown change-point via bootstrapping methods. Precisely we use a block bootstrap of the estimated centered error sequence. Then we reconstruct a sequence with a change in the mean using the same estimators as before. The difference between the change-point estimator of the resampled sequence and the one for the original sequence can be use as an approximation of the difference between the real change-point and its estimator. This enables us to construct confidence intervals using the empirical distribution of the resampled time series. A simulation study shows that the resampled confidence intervals are usually closer to their target levels and at the same time smaller than the asymptotic intervals. | |
| dc.description | 25 pages, 25 figures | |
| dc.identifier | https://arxiv.org/abs/0706.1485 | |
| dc.identifier | http://arxiv.org/abs/0706.1485 | |
| dc.identifier | Journal of Time Series Analysis. 29:947-972, 2008 | |
| dc.identifier | doi:10.1111/j.1467-9892.2008.00589.x | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/172628 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62G09, 62G15, 60G10 | |
| dc.title | Bootstrapping confidence intervals for the change-point of time series | |
| dc.type | text |