| Multiple change-points estimation of moving-average processes under dependence assumptions |
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| 作者姓名： | ZHANG Lixin LI Yunxia |
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| 作者单位： | Department of Mathematics, Zhejiang University, Hangzhou 310028, China,Department of Mathematics, Zhejiang University, Hangzhou 310028, China |
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| 摘 要： | In this paper, some results of convergence for a least-square estimator in the problem of multiple change-points estimation are presented and the moving-average processes of ρ-mixing sequence in the mean shifts are discussed. When the number of change points is known, the consistency of change-points estimator is derived. When the number of changes is unknown, the consistency of the change-points number and the change-points estimator by penalized least-squares method are obtained. The results are also true for φ-mixing, α-mixing, associated and negative associated sequences under suitable conditions.
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| 关 键 词： | mean shift multiple change-points moving-average process least-squares |
Multiple change-points estimation of moving-average processes under dependence assumptions |
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| ZHANG Lixin,LI Yunxia.Multiple change-points estimation of moving-average processes under dependence assumptions[J].Progress in Natural Science,2004,14(8):681-688. |
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| Authors: | ZHANG Lixin Li Yunxia |
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| Institution: | Department of Mathematics, Zhejiang University, Hangzhou 310028, China |
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| Abstract: | In this paper, some results of convergence for a least-square estimator in the problem of multiple change-points estimation are presented and the moving-average processes of ρ-mixing sequence in the mean shifts are discussed. When the number of change points is known, the consistency of change-points estimator is derived. When the number of changes is unknown, the consistency of the change-points number and the change-points estimator by penalized least-squares method are obtained. The results are also true for φ-mixing, α-mixing, associated and negative associated sequences under suitable conditions. |
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| Keywords: | mean shift multiple change-points moving-average process least-squares |
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