On rapid change points under long memory

Patricia Menéndez, Sucharita Ghosh, Jan Beran

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)3343-3354
Number of pages12
JournalJournal of Statistical Planning and Inference
Volume140
Issue number11
DOIs
Publication statusPublished - 1 Nov 2010
Externally publishedYes

Keywords

  • Derivative estimation
  • Gaussian subordination
  • Irregularily spaced time series
  • Kernel smoothing
  • Long memory
  • Palaeo research

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