RATE OF CONVERGENCE FOR MULTIPLE CHANGE- POINTS ESTIMATION OF MOVING-AVERAGE PROCESSES

摘要

In this paper, the least square estimator in the problem of multiple change points estimation is studied. Here, the moving-average processes of ALNQD sequence in the mean shifts are discussed. When the number of change points is known, the rate of convergence of change-points estimation is derived. The result is also true for , ρ-mixing, φ-mixing, α-mixing, associated and negatively associated sequences under suitable conditions.