厚尾相依序列的均值变点估计

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

Department of Mathematics, Northwestern Polytechnical University
National Key Laboratory of Pattern Recognition, Institute of Automation, Chinese Academy of Sciences

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\'{a}jek--R\'{e}nyi不等式.
- 变点估计 /
- 厚尾 /
- H\'{a}jek-R\'{e}nyi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\'{a}jek-R\'{e}nyi type inequality is also proved. Results are obtained under weak moment assumptions.
- Change-point estimation /
- heavy-tails /
- H\'{a}jek-R\'{e}nyi inequality