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Statistics & Risk Modeling

with Applications in Finance and Insurance

Ed. by Pflug, Georg

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Mathematical Citation Quotient 2012: 0.22

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Limit theorems in change-point problems with multivariate long-range dependent observations

Lihong Wang

Citation Information: Statistics & Decisions/International mathematical Journal for stochastic methods and models. Volume 21, Issue 3/2003, Pages 283–300, ISSN (Print) 0721-2631, DOI: 10.1524/stnd.21.3.283.23432, September 2009

Publication History

Published Online:
2009-09-25

Abstract

In this paper we investigate the asymptotic properties of the test statistics for detecting change-points in the mean of a set of multivariate long-range dependent observations. The limit theorems of weighted test statistics and weighted Lp-functionals of tests are developed. The limiting processes of these statistics are structurally different from those encountered in the independent or weakly dependent case.

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