Testing for change points in time series models and limiting theorems for NED sequences

Details Testing for change points in time series models and limiting theorems for NED sequences Testing for change points in time series models and limiting theorems for NED sequences

2007-08-17

arxiv.org/abs/0708.2369v1

Annals of Statistics 2007, Vol. 35, No. 3, 1213-1237

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053606000001514 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000001514

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.

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