Change in autoregressive processes

DOI10.1016/0304-4149(93)90026-ZzbMath0769.62067OpenAlexW2070950559MaRDI QIDQ1208942

Lajos Horváth

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90026-z

zbMATH Keywords

strong approximationchange-pointstationary autoregressive processLp-functionalsresidual sumsweighted supremum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items

Monitoring procedure for parameter change in causal time series, Effect of dependence on statistics for determination of change, Estimating a gradual parameter change in an AR(1)-process, Testing for parameter stability in nonlinear autoregressive models, Testing for parameter constancy in general causal time-series models, On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root, On the detection of changes in autoregressive time series. I: Asymptotics., A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis, Retrospective change detection for binary time series models, Structural changes in autoregressive models for binary time series, A test for parameter change in general causal time series using quasi-likelihood estimator, Testing for changes in the mean or variance of long memory processes, Monitoring changes in the error distribution of autoregressive models based on Fourier methods, Serial rank statistics for detection of changes., Changepoints in times series of counts, Detecting Markov random fields hidden in white noise, Testing for changes in the mean or variance of a stochastic process under weak invariance, The effect of long-range dependence on change-point estimators, Hölder convergence of autoregression residuals partial sum processes, Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives, Change-point problems for multivariate time series using pseudo-observations

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