Testing the stability of the functional autoregressive process

DOI10.1016/j.jmva.2008.12.008zbMath1178.62099OpenAlexW1993897623MaRDI QIDQ1049540

Lajos Horváth, Marie Hušková, Piotr S. Kokoszka

Publication date: 12 January 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.12.008

zbMATH Keywords

change-pointcredit card transactions datafunctional autoregressive process

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• R
• fda (R)

Cites Work

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