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《Mathematics in Practice and Theory》 2008-11
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Wavelet Estimation of Change Point in Heavy-tailed Process with Infinite Variance

QI Pei-yan1,2,TIAN Zheng1,3(1.Department of Applied Mathematics,Northwestern Polytechnical University,Xi′an 710072,China)(2.Department of Mathematics,Taiyuan University of Science and Technology,Taiyuan 030024,China)(3.National Key Laboratory of Pattern Recognition,and Institute of Automation,Chinese Academy of Science,Beijing 100080,China)  
In a random design nonparametric function model,this paper deals with the estimation of a sharp change point.A method based in design transformation is used in order to convert a random design into an equispaced design.We construct a sharp change point estimator in the transformed design and obtain the estimator of the sharp change point in original design by invert design transformation and give its rate of convergence.Simulation study show that our method is available for estimation of change point in heavy-tailed process with infinite variance.
【Fund】: 国家自然科学基金(60375003);; 国家航空基金项目(03I53059)
【CateGory Index】: O212.1
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