Testing for changes in the covariance structure of linear processes

DOI10.1016/j.jspi.2008.09.004zbMath1159.62031OpenAlexW2024028505MaRDI QIDQ1011543

Lajos Horváth, Edit Gombay, István Berkes

Publication date: 8 April 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.09.004

zbMATH Keywords

approximationsBrownian bridgechange in parameters

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

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