Menu Content/Inhalt
Seminars Print
previous year previous month next month next year
See by year See by month See by week See Today Search Jump to month
Alexander Schmitz, Cologne U. Print
Friday, 20 May 2011, 11:00 - 12:00
Limit Theorems in Change-Point Analysis for Dependent Data

Alexander Schmitz, University of Cologne

Abstract : We will address dependence issues arising from nonparametric change-point analysis based on weighted approximations. Motivated by recent contributions of Ling [Ann. Statist. 35, 1213–1237 (2007)], we will present some strong approximation results for linear processes with dependent errors. As a consequence, we are able to establish Darling-Erd˝os type limit theorems for certain weighted CUSUM statistics within an ARMA-GARCH framework. Concerning the very different limiting distributions of weighted CUSUM statistics, we will discuss the usage of weight functions to detect structural breaks with better power.
Location: Plaine, NO salle des profs