Abstract
We study an AMOC time series model with an abrupt change in the mean and dependent errors that fulfill certain mixing conditions. It is known how to construct resampling confidence intervals using blocking techniques, but so far no studentizing has been considered. A simulation study shows that we obtain better intervals by studentizing. When studentizing dependent data, we need to use flat-top kernels for the estimation of the asymptotic variance. It turns out that this estimator taking possible changes into account behaves much better than the corresponding Bartlett estimator. Since the asymptotic distribution of change-point statistics for time-series depends on this value, having a good estimator under the null as well as alternatives is also essential for testing problems.
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The work was supported by the DFG graduate college ‘Mathematik und Praxis’. Furthermore the work of the first author was partly supported by the grants GAČR 201/09/J006 and MSM 02162839. The work of the second author was partly supported by the Stifterverband für die Deutsche Wissenschaft by funds of the Claussen-Simon-trust.
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Hušková, M., Kirch, C. A note on studentized confidence intervals for the change-point. Comput Stat 25, 269–289 (2010). https://doi.org/10.1007/s00180-009-0175-7
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DOI: https://doi.org/10.1007/s00180-009-0175-7