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Computational Statistics

, Volume 25, Issue 2, pp 269–289 | Cite as

A note on studentized confidence intervals for the change-point

  • Marie Hušková
  • Claudia Kirch
Original Paper

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.

Keywords

Block bootstrap Mixing Flat-top kernel Change in mean 

Mathematics Subject Classification (2000)

62G09 62G15 60G10 

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Supplementary material

180_2009_175_MOESM1_ESM.pdf (15.6 mb)
ESM 1 (PDF 15,987 kb)
180_2009_175_MOESM2_ESM.pdf (22.6 mb)
ESM 2 (PDF 23,109 kb)

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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  1. 1.Department of StatisticsCharles University of PraguePraha 8Czech Republic
  2. 2.Institute for StochasticsKarlsruhe Institute of Technology (KIT)KarlsruheGermany

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