Test for parameter change based on the estimator minimizing density-based divergence meas\-ures

DOI10.1007/BF02509239zbMath1095.62024MaRDI QIDQ2501357

Sangyeol Lee, Okyoung Na

Publication date: 6 September 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

tablesweak convergenceBrownian bridgeCUSUM testdensity-based divergence measuresrobustness propertytest for parameter changes

Mathematics Subject Classification ID

Related Items (10)

Test for parameter change in the presence of outliers: the density power divergence-based approach ⋮ Minimum density power divergence estimator for GARCH models ⋮ Minimum density power divergence estimator for diffusion processes ⋮ A general procedure for change-point detection in multivariate time series ⋮ Estimation of a tail index based on minimum density power divergence ⋮ Two-sample homogeneity tests based on divergence measures ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Robust estimation for the covariance matrix of multi-variate time series ⋮ Modeling and inference for multivariate time series of counts based on the INGARCH scheme ⋮ Comments on: ``Extensions of some classical methods in change point analysis

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