Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models

DOI10.1080/03610926.2014.995828zbMath1364.60041OpenAlexW2525218369MaRDI QIDQ2980079

Marek Dvořák

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.995828

zbMATH Keywords

Gumbel distributionhypotheses testingchange detectionstationary VAR models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Change Point Detection with Multivariate Observations Based on Characteristic Functions

Cites Work

• The maximum likelihood method for testing changes in the parameters of normal observations
• A limit theorem for the maximum of normalized sums of independent random variables
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Some mixing properties of time series models
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Testing for a change in the parameter values and order of an autoregressive model
• Darling-Erdős limit results for change-point detection in panel data
• Covariance changes detection in multivariate time series
• Change detection in autoregressive time series
• Structural breaks in time series
• Asymptotic distributions of maximum likelihood tests for change in the mean
• Testing For and Dating Common Breaks in Multivariate Time Series
• Stochastic Limit Theory
• On Testing Changes in Autoregressive Parameters of a VAR Model

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