On rapid change points under long memory.

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 func...

Full description

Bibliographic Details
Published in:Journal of Statistical Planning and Inference
Main Authors: Menéndez, P., Ghosh, S., Beran, J.
Format: Article in Journal/Newspaper
Language:English
Published: 2010
Subjects:
bandwidth selection
covariate
errors
inference
limit-theorems
nonparametric regression
parameter
range dependence
threshold
time-series
Greenland
Online Access:https://research.wur.nl/en/publications/on-rapid-change-points-under-long-memory
https://doi.org/10.1016/j.jspi.2010.04.051
Description
Summary: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. (C) 2010 Elsevier B.V. All rights reserved.

Similar Items