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Estimation on mean-variance change-point of dependent sequence. (Chinese. English summary) Zbl 1389.62039

Summary: The linear dependent sequences estimate problem of mean-variance change-points existing at the same time is studied by establishing the statistical model and constructing the CUSUM statistics of mean and variance change points. Considering the effect of mean change point, by calculating the convergence speed of mean change point estimator, two different cases of variance change points of mean and the mean change point known and unknown are analyzed, and the convergence speed of variance change point estimators is also calculated.

MSC:

62F12 Asymptotic properties of parametric estimators
62J05 Linear regression; mixed models
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