On rapid change points under long memory

Menendez, Patricia, Ghosh, Sucharita and Beran, Jan (2010) On rapid change points under long memory. Journal of Statistical Planning and Inference, 140 11: 3343-3354. doi:10.1016/j.jspi.2010.04.051

Author Menendez, Patricia
Ghosh, Sucharita
Beran, Jan
Title On rapid change points under long memory
Journal name Journal of Statistical Planning and Inference   Check publisher's open access policy
ISSN 0378-3758
Publication date 2010-11
Year available 2010
Sub-type Article (original research)
DOI 10.1016/j.jspi.2010.04.051
Volume 140
Issue 11
Start page 3343
End page 3354
Total pages 12
Place of publication Amsterdam, Netherlands
Publisher Elsevier
Language eng
Formatted abstract
Estimation of points of rapid change in the mean function m(t) is considered under long memory residuals, irregularily spaced time points and smoothly changing marginal distributions obtained by local Gaussian subordination. The approach is based on kernel estimation of derivatives of the trend function. An asymptotic expression for the mean squared error is obtained. Limit theorems are derived for derivatives of m and the time points where rapid change occurs. The results are illustrated by an application to measurements of oxygen isotopes trapped in the Greenland ice sheets during the last 20,000 years.
Keyword Derivative estimation
Irregularily spaced time series
Gaussian subordination
Kernel smoothing
Long memory
Palaeo research
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Mathematics and Physics
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Citation counts: TR Web of Science Citation Count  Cited 5 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 6 times in Scopus Article | Citations
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Created: Fri, 18 Jan 2013, 09:05:36 EST by Patricia Menendez Galvan on behalf of Mathematics