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Strong mixing property holds for a broad class of linear and nonlinear timeseries models such as ARMA and GARCH models. In this article we studycorrelation structure of strong mixing sequences, and some asymptoticproperties are presented. We also present a new method for detecting changepoint in correlation structure of strong mixing sequences, and present anonparametric CUSUM test statistic for this. Asymptotic consistency of thistest statistics is shown. This method is applied to simulated data of somelinear and nonlinear models and power of the test is evaluated. For linearmodels, it is shown that this method have a better performance in compare toBerkes et al.(2009).

The CUSUM test for detecting structural changes in strong mixing processes