Estimating non-simultaneous changes in the mean of vectors

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21110%2F18%3A00323878" target="_blank" >RIV/68407700:21110/18:00323878 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s00184-018-0671-2" target="_blank" >http://dx.doi.org/10.1007/s00184-018-0671-2</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00184-018-0671-2" target="_blank" >10.1007/s00184-018-0671-2</a>

Result language
angličtina
Original language name
Estimating non-simultaneous changes in the mean of vectors
Original language description
A sequence of independent vectors with correlated components is considered. It is supposed that there is one change point in the mean of each component and changes need not occur simultaneously. The asymptotic distribution of the change point estimators is studied. If the true change points are well separated, the explicit asymptotic distribution of the change point estimators is presented. In the case the true change points coincide, it is shown that the limit distribution of properly standardized change points estimates exists. It depends not only on the underlying time series dependence structure, but also on the ratio of the sizes of the changes. The asymptotic distribution function is not known, but due to the invariance principle it can be obtained by simulations.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA15-09663S" target="_blank" >GA15-09663S: Modeling dynamic financial processes with structural breaks</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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