Testing for variance changes in autoregressive models with unknown order

DOI10.1080/02664761003692399OpenAlexW2056646609MaRDI QIDQ5124813

Baisuo Jin, Baiqi Miao, Mong-Na Lo Huang

Publication date: 30 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664761003692399

zbMATH Keywords

time seriesBayesian information criterionvariance changemultiple change pointscumulative sum of squares

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Estimator of a change point in single index models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Inferences about the parameters of a time series model with changing variance
• Monitoring parameter change in AR\((p)\) time series models
• Testing for a change in the parameter values and order of an autoregressive model
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Change detection in autoregressive time series
• Testing and estimating change-points in time series
• Testing for the Constancy of Parameters Over Time
• Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series
• Sequential Procedures for Detecting Parameter Changes in a Time-Series Model
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Cusum Test for Parameter Change in Time Series Models
• Consistency and Unbiasedness of Certain Nonparametric Tests