A note on studentized confidence intervals for the change-point

作者：Huskova Marie; Kirch Claudia^*

来源：Computational Statistics, 2010, 25(2): 269-289.

DOI：10.1007/s00180-009-0175-7

• Block bootstrap
• Mixing
• Flat-top kernel
• Change in mean

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.

• 出版日期2010-6