| RATE OF CONVERGENCE FOR MULTIPLE CHANGEPOINTS ESTIMATION OF MOVING-AVERAGE PROCESSES |
| |
| 作者姓名： | Li Yunxia Zhang Lixin |
| |
| 作者单位： | [1]Zhejiang University of Finance and Economics ,Hangzhou 310012,China. [2]Department of Mathematics ,Zhejiang University ,Hangzhou 310028 ,China. |
| |
| 基金项目： | Supported by the National Natural Science Foundation of China（10471126）. |
| |
| 摘 要： | In this paper, the least square estimator in the problem of multiple change points estimation is studied. Here, the moving-average processes of ALNQD sequence in the mean shifts are discussed. When the number of change points is known, the rate of convergence of change-points estimation is derived. The result is also true for p-mixing, φ-mixing, a-mixing, associated and negatively associated sequences under suitable conditions.
|
| 关 键 词： | 最小平方估计 转换点 ALNQD序列 收敛性 移动过程 |
| 收稿时间： | 2003-11-28 |
Rate of convergence for multiple change-points estimation of moving-average processes |
| |
| Li Yunxia Zhang Lixin.RATE OF CONVERGENCE FOR MULTIPLE CHANGEPOINTS ESTIMATION OF MOVING-AVERAGE PROCESSES[J].Applied Mathematics A Journal of Chinese Universities,2005,20(4):416-422. |
| |
| Authors: | Li Yunxia Zhang Lixin |
| |
| Institution: | (1) Zhejiang University of Finance and Economics, 310012 Hangzhou, China;(2) Department of Mathematics, Zhejiang University, 310028 Hangzhou, China |
| |
| Abstract: | In this paper, the least square estimator in the problem of multiple change points estimation is studied. Here, the moving-average
processes of ALNQD sequence in the mean shifts are discussed. When the number of change points is known, the rate of convergence
of change-points estimation is derived. The result is also true for ρ-mixing, φ-mixing, α-mixing, associated and negatively
asosciated sequences under suitable conditions.
Supported by the National Natural Science Foundation of China (10471126). |
| |
| Keywords: | mean shift multiple change points moving-average process ALNQD least square |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ |
