Limit results for $L^p$ functionals of weighted CUSUM processes
Probability
2020-10-07 v1 Statistics Theory
Statistics Theory
Abstract
The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptotic distribution of , functionals of the weighted CUSUM process for time series under general conditions.
Cite
@article{arxiv.2010.02476,
title = {Limit results for $L^p$ functionals of weighted CUSUM processes},
author = {Lajos Horváth and Gregory Rice},
journal= {arXiv preprint arXiv:2010.02476},
year = {2020}
}