Limit results for $L^p$ functionals of weighted CUSUM processes

Published 6 Oct 2020 in math.PR, math.ST, and stat.TH | (2010.02476v1)

Abstract: The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptotic distribution of $L^p, 1\leq p <\infty$, functionals of the weighted CUSUM process for time series under general conditions.

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