On rapid change points under long memory.

P. Menéndez, S. Ghosh, J. Beran

Research output: Contribution to journalArticleAcademicpeer-review

10 Citations (Scopus)

Abstract

Estimation of points of rapid change in the mean function m(t) is considered under long memory residuals, irregularily spaced time points and smoothly changing marginal distributions obtained by local Gaussian subordination. The approach is based on kernel estimation of derivatives of the trend function. An asymptotic expression for the mean squared error is obtained. Limit theorems are derived for derivatives of m and the time points where rapid change occurs. The results are illustrated by an application to measurements of oxygen isotopes trapped in the Greenland ice sheets during the last 20,000 years. (C) 2010 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)3343-3354
Number of pages12
JournalJournal of Statistical Planning and Inference
Volume140
Issue number11
DOIs
Publication statusPublished - 2010

Keywords

  • nonparametric regression
  • bandwidth selection
  • range dependence
  • limit-theorems
  • time-series
  • errors
  • parameter
  • covariate
  • threshold
  • inference

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