Asymptotic Distribution of the Jump Change-Point Estimator

The asymptotic distribution of the change-point estimator in a jump change- point model is considered. For the jump change-point model Xi - α ＋ θ{[nτ0] 〈 i ≤ n} ＋ εi, where εi （i = 1,…. , n） are independent identically distributed random variables with Eεi -= 0 and Var（εi）〈 ∞, with the help of the...

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Bibliographic Details
Published in:	Chinese annals of mathematics. Serie B Vol. 33; no. 3; pp. 429 - 436
Main Authors:	Tan, Changchun, Niu, Huifang, Miao, Baiqi
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer-Verlag 01-05-2012
Subjects:	Applications of Mathematics Mathematics Mathematics and Statistics VAR 变点模型渐近分布点估计独立同分布跳变随机变量 62G20 Change-point Asymptotic distribution 62F12 Local alternative hypothesis
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Summary:	The asymptotic distribution of the change-point estimator in a jump change- point model is considered. For the jump change-point model Xi - α ＋ θ{[nτ0] 〈 i ≤ n} ＋ εi, where εi （i = 1,…. , n） are independent identically distributed random variables with Eεi -= 0 and Var（εi）〈 ∞, with the help of the slip window method, the asymptotic distribution of the jump change-point estimator τ is studied under the condition of the local alternative hypothesis.
Bibliography:	The asymptotic distribution of the change-point estimator in a jump change- point model is considered. For the jump change-point model Xi - α ＋ θ{[nτ0] 〈 i ≤ n} ＋ εi, where εi （i = 1,…. , n） are independent identically distributed random variables with Eεi -= 0 and Var（εi）〈 ∞, with the help of the slip window method, the asymptotic distribution of the jump change-point estimator τ is studied under the condition of the local alternative hypothesis. Change-point, Local alternative hypothesis, Asymptotic distribution 31-1329/O1
ISSN:	0252-9599 1860-6261
DOI:	10.1007/s11401-012-0708-1