Test for parameter change in stochastic processes based on conditional least-squares estimator

DOI10.1016/j.jmva.2004.03.003zbMath1066.62082OpenAlexW2020211012MaRDI QIDQ1776876

Okyoung Na, Sangyeol Lee

Publication date: 12 May 2005

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2004.03.003

zbMATH Keywords

Brownian bridgeWeak convergenceNonlinear autoregressive modelConditional least-squares estimatorCusum testTest for parameter change

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (12)

Recent progress in parameter change test for integer-valued time series models ⋮ Parameter change test for periodic integer-valued autoregressive process ⋮ Testing for parameter constancy in general causal time-series models ⋮ Test for tail index change in stationary time series with Pareto-type marginal distribution ⋮ A general procedure for change-point detection in multivariate time series ⋮ A test for parameter change in general causal time series using quasi-likelihood estimator ⋮ Jump diffusion model with application to the Japanese stock market ⋮ Test for Parameter Change in Linear Processes Based on Whittle's Estimator ⋮ Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators ⋮ Moving estimates test with time varying bandwidth ⋮ Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity

Cites Work

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• Inference about the change-point from cumulative sum tests

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