TESTING CHANGE-POINTS IN THE EXPLOSIVE GAUSSIAN AUTOREGRESSIVE PROCESSES

DOI10.1111/j.1467-9892.1996.tb00288.xzbMath0858.62077OpenAlexW2064187086MaRDI QIDQ4715810

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Publication date: 23 March 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00288.x

zbMATH Keywords

simulationnormalizationfunctional limit theoremlikelihood ratio test statisticchange-pointsKolmogorov distributionweighted likelihood ratio testcovariance parameterexplosive Gaussian autoregressive modelnon-ergodic type time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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