Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process |
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Institution: | Université Paris 1, SAMOS-MATISSE-CES, 90, rue de Tolbiac, 75013 Paris, France |
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Abstract: | In this Note, an estimator of m instants (m is known) of abrupt changes of the parameter of long-range dependence or self-similarity is proved to satisfy a limit theorem with an explicit convergence rate for a sample of a Gaussian process. In each estimated zone where the parameter is supposed not to change, a central limit theorem is established for the parameter's (of long-range dependence, self-similarity) estimator and a goodness-of-fit test is also built. To cite this article: J.-M. Bardet, I. Kammoun, C. R. Acad. Sci. Paris, Ser. I 346 (2008). |
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