Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations |
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| Authors: | Sier Han Zheng Tian |
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| Institution: | 1. Department of Applied Mathematics , Northwestern Polytechnical University , Shaanxi, China hansier2003@126.com;3. Department of Applied Mathematics , Northwestern Polytechnical University , Shaanxi, China |
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| Abstract: | ABSTRACT This article considers the problem of a mean change-point in heavy-tailed dependent observations. A method of change-point estimation by truncating initial process is proposed, which can weaken the affection of outliers. In the infinite variance case, we obtained a generalization Hájek-Rényi type inequality. Consistency and the rate of convergence for the estimated change-point are also established. The results of a simulation study support validity of our method. |
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| Keywords: | Change-point estimation Hájek-Rényi inequality Heavy-tails |
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