Limit results for L^p functionals of weighted CUSUM processes

10/06/2020

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by   Lajos Horváth, et al.

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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≤ p <∞, functionals of the weighted CUSUM process for time series under general conditions.