Journal
STATISTICS
Volume 51, Issue 2, Pages 314-330Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/02331888.2016.1268614
Keywords
Variance change; linear processes; the CUSUM estimator; strong convergence
Categories
Funding
- National Natural Science Foundation of China [11226217, 71501115]
- Postdoctoral Science Foundation [2012M510772]
- Postdoctoral Science Special Foundation [2013T60266]
- Humanity and Social Science Foundation of Ministry of Education of China [14YJA790034]
- National Social Science Foundation of China [15BJY164]
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Let {Yn, n >= 1} be a linear process such that Y-i = mu + sigma(1)e(i), i <= k(0) and Y-i = mu + sigma(2)e(i), i >= k(0) + 1, where k(0) is a change point, mu, sigma(1) and sigma(2) are unknown parameters and {e(i), i >= 1} is an infinite-order moving average process which satisfies some assumptions. In this paper we investigate the strong convergence rate of the estimator of the variance change and derive a strong convergence rate o(M(n)/n), where M(n) is a natural number sequence and increase to infinity as the sample size n increase to infinity. On the basis of the results, we apply an iterative algorithm to search for the variance change more effectively. A simple simulation study demonstrates that the algorithm is efficient. Additionally, an empirical application is given for illustration.
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