Truncating Estimation for the Mean Change Point in Heavy-Tailed Dependent Panel Data
Abstract
CUSUM method is used to propose a truncated estimation of the change point, so that the estimated result will not be affected by the “singular”
points in the initial sequence. We obtain a generalized Hájek-Rényi type inequality. The consistency and the rate of convergence for the estimated change point are established.
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DOI: http://dx.doi.org/10.18686/fm.v10i1.13935
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