A note on approximating distribution functions of cusum and cusumsq tests

DOI10.1515/MCMA.2011.005zbMath1216.65017OpenAlexW2002437859MaRDI QIDQ3168627

Reza Habibi

Publication date: 19 April 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2011.005

zbMATH Keywords

autoregressive modelchange pointleast squareChi-square distributionHansen polynomialsleading distribution function

Mathematics Subject Classification ID

Algorithms for approximation of functions (65D15)

Cites Work

• Semi-Nonparametric Maximum Likelihood Estimation
• A Non-Parametric Approach to the Change-Point Problem
• Limit theorems for change in linear regression
• Approximating the distribution of the maximum partial sum of normal deviates
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Testing for Structural Change in Dynamic Models
• Testing a Sequence of Observations for a Shift in Location
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Cusum Test for Parameter Change in Time Series Models

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