Change detection in autoregressive time series

DOI10.1016/j.jmva.2007.01.003zbMath1148.62069OpenAlexW2086325258MaRDI QIDQ2476146

Publication date: 11 March 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.01.003

zbMATH Keywords

invariance time series Brownian bridge strong approximation principles efficient score vector

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Functional limit theorems; invariance principles (60F17)

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