Testing for a change in the parameter values and order of an autoregressive model
type: Item
instance of: scholarly article
title: Testing for a change in the parameter values and order of an autoregressive model
zbMATH Open document ID: 0822.62072
author: Richard A. Davis
author: Dawei Huang
author: Yi-Ching Yao
published in: The Annals of Statistics
publication date: 1995-10-18T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F05
Mathematics Subject Classification ID: 62G10
zbMATH DE Number: 786215
zbMATH Keywords: change point problem
zbMATH Keywords: strong mixing
zbMATH Keywords: autoregressive model
zbMATH Keywords: normalized Gaussian likelihood ratio test statistic
zbMATH Keywords: Gumbel extreme value distribution
zbMATH Keywords: asymptotically distribution-free procedure
zbMATH Keywords: white noise variance
zbMATH Keywords: order
zbMATH Keywords: asymptotic null distribution
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176324468
OpenAlex ID: W2011865072
DOI: 10.1214/AOS/1176324468
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description: scientific article; zbMATH DE number 786215