The CUSUM statistic of change point under NA sequences

In this paper, we investigate the CUSUM statistic of change point under the negatively associated (NA) sequences. By establishing the consistency estimators for mean and covariance functions respectively, the limit distribution of the CUSUM statistic is proved to be a standard Brownian bridge, which...

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Autores principales: Ling, Jin, Li, Xiao-qin, Yang, Wen-zhi, Jiao, Jian-ling
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Editorial Committee of Applied Mathematics - A Journal of Chinese Universities 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8692227/
https://www.ncbi.nlm.nih.gov/pubmed/34955618
http://dx.doi.org/10.1007/s11766-021-4015-z
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author Ling, Jin
Li, Xiao-qin
Yang, Wen-zhi
Jiao, Jian-ling
author_facet Ling, Jin
Li, Xiao-qin
Yang, Wen-zhi
Jiao, Jian-ling
author_sort Ling, Jin
collection PubMed
description In this paper, we investigate the CUSUM statistic of change point under the negatively associated (NA) sequences. By establishing the consistency estimators for mean and covariance functions respectively, the limit distribution of the CUSUM statistic is proved to be a standard Brownian bridge, which extends the results obtained under the case of an independent normal sample and the moving average processes. Finally, the finite sample properties of the CUSUM statistic are given to show the efficiency of the method by simulation studies and an application on a real data analysis.
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spelling pubmed-86922272021-12-22 The CUSUM statistic of change point under NA sequences Ling, Jin Li, Xiao-qin Yang, Wen-zhi Jiao, Jian-ling Appl Math Article In this paper, we investigate the CUSUM statistic of change point under the negatively associated (NA) sequences. By establishing the consistency estimators for mean and covariance functions respectively, the limit distribution of the CUSUM statistic is proved to be a standard Brownian bridge, which extends the results obtained under the case of an independent normal sample and the moving average processes. Finally, the finite sample properties of the CUSUM statistic are given to show the efficiency of the method by simulation studies and an application on a real data analysis. Editorial Committee of Applied Mathematics - A Journal of Chinese Universities 2021-12-22 2021 /pmc/articles/PMC8692227/ /pubmed/34955618 http://dx.doi.org/10.1007/s11766-021-4015-z Text en © The Author(s) 2021 https://creativecommons.org/licenses/by/4.0/Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the articles Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the articles Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Ling, Jin
Li, Xiao-qin
Yang, Wen-zhi
Jiao, Jian-ling
The CUSUM statistic of change point under NA sequences
title The CUSUM statistic of change point under NA sequences
title_full The CUSUM statistic of change point under NA sequences
title_fullStr The CUSUM statistic of change point under NA sequences
title_full_unstemmed The CUSUM statistic of change point under NA sequences
title_short The CUSUM statistic of change point under NA sequences
title_sort cusum statistic of change point under na sequences
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8692227/
https://www.ncbi.nlm.nih.gov/pubmed/34955618
http://dx.doi.org/10.1007/s11766-021-4015-z
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