A test for parameter change in general causal time series using quasi-likelihood estimator

DOI10.1016/j.crma.2012.03.001zbMath1236.62108OpenAlexW2048240670MaRDI QIDQ412603

William Charky Kengne

Publication date: 4 May 2012

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2012.03.001

Mathematics Subject Classification ID

Cites Work

• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Test for parameter change in ARMA models with GARCH innovations
• Dependence in probability and statistics
• Break detection in the covariance structure of multivariate time series models
• Change in autoregressive processes
• Testing for parameter changes in ARCH models
• Testing for parameter constancy in GARCH\((p,q)\) models
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• High moment partial sum processes of residuals in GARCH models and their applications
• Testing for parameter constancy in general causal time-series models
• A test for a change in a parameter occurring at an unknown point
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• On the Cusum test for parameter changes in garch(1,1) Models
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests

This page was built for publication: A test for parameter change in general causal time series using quasi-likelihood estimator