Asymptotic and bootstrap tests for a change in autoregression omitting variability estimation

DOI10.1007/978-3-319-96944-2_13zbMath1414.62378OpenAlexW2895235066MaRDI QIDQ2419623

Barbora Peštová, Michal Pešta

Publication date: 14 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-96944-2_13

zbMATH Keywords

bootstraphypothesis testingstructural changechange pointchange in autoregressionratio type statisticvariance estimation free test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (1)

Multiple change point detection and validation in autoregressive time series data

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