Change in autoregressive processes (Q1208942)
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scientific article; zbMATH DE number 167136
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Change in autoregressive processes |
scientific article; zbMATH DE number 167136 |
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Change in autoregressive processes (English)
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16 May 1993
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The paper studies the detection of a possible change in a stationary autoregressive process of order \(r\). The test statistics are based on weighted supremum and \(L_ p\)-functionals of the residual sums. Some limit theorems are proven under necessary and sufficient conditions.
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change-point
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strong approximation
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Lp-functionals
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stationary autoregressive process
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weighted supremum
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residual sums
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