B0953
Title: Asymptotic distribution for a class of general change-point tests and estimators
Authors: Stefanie Schwaar - University of Kaiserslautern (Germany) [presenting]
Abstract: Many data sets exhibit changes at some unknown point in time. Therefore, we are interested in obtaining estimators as well as their asymptotic distribution in such a setting. To this end, we give examples of models with at most one change and describe a general class of change-point tests. Based on these generalised change-point tests we derive generalised estimators for the change-point, whose asymptotic behaviour we are interested in. We are able to prove that these estimators are asymptotically consistent for many alternatives with rate $O_P\big(\frac 1 n\big)$. We can show that this rate cannot be improved.
