Test for Parameter Change in Linear Processes Based on Whittle's Estimator

DOI10.1080/03610920601143881zbMath1124.62060OpenAlexW2143694888MaRDI QIDQ5421563

Taewook Lee, Sangyeol Lee

Publication date: 24 October 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601143881

zbMATH Keywords

weak convergencelinear processBrownian bridgeCUSUM testtest for parameter change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

A new simple test against spurious long memory using temporal aggregation

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