Testing for change points in time series models and limiting theorems for NED sequences
Statistics Theory
2007-08-22 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.0708.2369,
title = {Testing for change points in time series models and limiting theorems for NED sequences},
author = {Shiqing Ling},
journal= {arXiv preprint arXiv:0708.2369},
year = {2007}
}
Comments
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)