Limit results for $L^p$ functionals of weighted CUSUM processes

Autor:	Horváth, Lajos, Rice, Gregory
Rok vydání:	2020
Předmět:	Mathematics - Probability Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	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 $L^p, 1\leq p <\infty$, functionals of the weighted CUSUM process for time series under general conditions.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2010.02476 Zobrazit plný text záznamu View this record from Arxiv