Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series

DOI10.2307/1267753zbMath0418.62076OpenAlexW4241069279MaRDI QIDQ3851481

William W. Davis

Publication date: 1979

Full work available at URL: https://doi.org/10.2307/1267753

zbMATH Keywords

asymptotic distributionMonte Carlojackknifeautoregressive processrobust testpower functionsPitman asymptotic relative efficiencyBox-Andersen testdetection of shiftsvariance of time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Related Items (6)

LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE ⋮ Testing for variance changes in autoregressive models with unknown order ⋮ Detecting shifts in functions of multivariate location and covariance parameters ⋮ Detecting change-points in multidimensional stochastic processes ⋮ Change-point problems: bibliography and review ⋮ Confidence distributions for skew normal change-point model based on modified information criterion

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