no. 12
Statistics
Convergence rates for estimating a change-point with long-range dependent sequences
[Vitesses de convergence pour l'estimation de rupture pour des suites fortements dépendantes]
Présenté par : Philippe G. Ciarlet
Ben Hariz, Samir1 ; Wylie, Jonathan J.2
1 Laboratoire de statistique et processus, département de mathématiques, université du Maine, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France
2 Department of Mathematics, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong
Comptes Rendus. Mathématique, Tome 341 (2005) no. 12, pp. 765-768

We consider a (possibly) long-range dependent sequence with a shift in the mean. We estimate the location of the change-point using a cumulative sum estimator. The 1/n convergence rate typical of the independent case is also achieved for short-memory and long-memory sequences.

Nous considérons une suite éventuellement fortement dépendante, avec un saut dans sa moyenne. Nous estimons le temps de rupture à partir des sommes partielles. La vitesse de convergence 1/n, typique pour des suites indépendantes, est aussi obtenu pour des suites de courte ou de longue mémoire.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2005.10.003

Ben Hariz, Samir 1 ; Wylie, Jonathan J. 2

1 Laboratoire de statistique et processus, département de mathématiques, université du Maine, avenue Olivier-Messiaen, 72085 Le Mans cedex 9, France
2 Department of Mathematics, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong 
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Ben Hariz, Samir; Wylie, Jonathan J. Convergence rates for estimating a change-point with long-range dependent sequences. Comptes Rendus. Mathématique, Tome 341 (2005) no. 12, pp. 765-768. doi: 10.1016/j.crma.2005.10.003

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