TY - JOUR
T1 - Testing for change points in time series models and limiting theorems for NED sequences
AU - Ling, Shiqing
PY - 2007/7
Y1 - 2007/7
N2 - 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.
AB - 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.
KW - Change-point
KW - Long-memory FARIMA
KW - Strong invariance principle
KW - Strong law of large numbers
KW - Wald test
UR - https://www.webofscience.com/wos/woscc/full-record/WOS:000248692700012
UR - https://openalex.org/W3104524372
UR - https://www.scopus.com/pages/publications/49649112011
U2 - 10.1214/009053606000001514
DO - 10.1214/009053606000001514
M3 - Journal Article
SN - 0090-5364
VL - 35
SP - 1213
EP - 1237
JO - Annals of Statistics
JF - Annals of Statistics
IS - 3
ER -