A new sequential test for detection of a point of change in ARMA parameters

DOI10.1016/0898-1221(90)90099-6zbMath0697.62076OpenAlexW2048385748MaRDI QIDQ911195

Rachid Souidi

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(90)90099-6

zbMATH Keywords

detection of change pointgeneral ARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (1)

On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters

Cites Work

• Testing and estimating change-points in time series
• Sequential Procedures for Detecting Parameter Changes in a Time-Series Model
• Inference about the change-point from cumulative sum tests
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