Hariz, Samir Ben; Wylie, Jonathan J. - In: Statistics & Probability Letters 73 (2005) 2, pp. 155-164
We consider a cumulative sum estimator for the change-point of a (possibly) long-range dependent sequence with a shift in the mean. We show that the 1/n convergence rate typical of the independent case is also achieved for short-memory and long-memory sequences.