On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters (Q2640269)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters |
scientific article |
Statements
On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters (English)
0 references
1989
0 references
ARMA (p,q) models
0 references
Gaussian processes
0 references
Box and Jenkin's approximation
0 references
Whittle's approximation
0 references
maximum likelihood estimation
0 references
chi-square law
0 references
asymptotic distribution
0 references
simulation
0 references
