| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1150200 | Journal of Statistical Planning and Inference | 2007 | 17 Pages |
Abstract
Various test statistics are discussed which can be used for detecting changes in the parameters of an autoregressive time series. In this first part of our study, the limiting behavior of the test statistics is derived under the null hypothesis of no change as well as under alternatives. In a forthcoming second part of our investigation, these asymptotic results will be compared to some corresponding bootstrap procedures, and a small simulation study will be conducted.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Marie Hušková, Zuzana Prášková, Josef Steinebach,