scientific article; zbMATH DE number 3894315

zbMath0561.62077MaRDI QIDQ5186589

P. Baufays, Jean-Paul Rasson

Publication date: 1985

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

simulationsautoregressive modelchange point problemnew algorithminnovation variance changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Adaptive estimation of autoregressive models with time-varying variances ⋮ Covariance changes detection in multivariate time series ⋮ Testing for variance changes in autoregressive models with unknown order ⋮ Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search ⋮ Detecting change-points in multidimensional stochastic processes ⋮ An asymptotic test for constancy of the variance under short-range dependence ⋮ Reaction times of monitoring schemes for ARMA time series

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