厚尾相依序列的均值变点估计

Change-Point in the Mean of Heavy-Tailed Dependent Observations

  • 摘要: 本文研究了厚尾相依序列的均值变点估计. 证明了变点的CUSUM估计的一致性并得到了收敛速度. 在方差无穷的情况下推广了H\'ajek--R\'enyi不等式.

     

    Abstract: This paper studies the problem of mean change point in heavy-tailed dependent observations. We prove the consistency of CUSUM estimator of change-point and derive the rate of convergence. A H\'ajek-R\'enyi type inequality is also proved. Results are obtained under weak moment assumptions.

     

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