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Change-point detection in the marginal distribution of a linear process
Authors
Farid El Ktaibi
B. Gail Ivanoff
Publication date
1 January 2016
Publisher
ZU Scholars
Abstract
© 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
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Last time updated on 03/12/2021