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.
Publié le : 2007-07-14
Classification:
Change-point,
long-memory FARIMA,
strong invariance principle,
strong law of large numbers,
Wald test,
62F05,
62M10,
60G10
@article{1185304004,
author = {Ling, Shiqing},
title = {Testing for change points in time series models and limiting theorems for NED sequences},
journal = {Ann. Statist.},
volume = {35},
number = {1},
year = {2007},
pages = { 1213-1237},
language = {en},
url = {http://dml.mathdoc.fr/item/1185304004}
}
Ling, Shiqing. Testing for change points in time series models and limiting theorems for NED sequences. Ann. Statist., Tome 35 (2007) no. 1, pp. 1213-1237. http://gdmltest.u-ga.fr/item/1185304004/