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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

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