Change in autoregressive processes (Q1208942): Difference between revisions

The paper studies the detection of a possible change in a stationary autoregressive process of order \(r\). The test statistics are based on weighted supremum and \(L_ p\)-functionals of the residual sums. Some limit theorems are proven under necessary and sufficient conditions.

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zbMATH Keywords

change-point

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strong approximation

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Lp-functionals

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stationary autoregressive process

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weighted supremum

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residual sums

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reviewed by

Pedro Alberto Morettin

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MaRDI profile type

MaRDI publication profile

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cites work

Q3217473

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Q4082864

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Weighted empirical and quantile processes

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On the distributions of \(L_ p\) norms of weighted uniform empirical and quantile processes

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Convergence of integrals of uniform empirical and quantile processes

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A limit theorem for the maximum of normalized sums of independent random variables

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Q4124141

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Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function

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Q3851495

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An approximation of partial sums of independent RV'-s, and the sample DF. I

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An approximation of partial sums of independent RV's, and the sample DF. II

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On the residuals of autoregressive processes and polynomial regression

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Testing and estimating change-points in time series

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full work available at URL

https://doi.org/10.1016/0304-4149(93)90026-z

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Identifiers

zbMATH Open document ID

0769.62067

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DOI

10.1016/0304-4149(93)90026-Z

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1208942

@@ Property / cites work @@
+Q3217473
@@ Property / cites work: Q3217473 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4082864
@@ Property / cites work: Q4082864 / rank @@
+Normal rank
@@ Property / cites work @@
+Weighted empirical and quantile processes
@@ Property / cites work: Weighted empirical and quantile processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the distributions of \(L_ p\) norms of weighted uniform empirical and quantile processes
+Normal rank
@@ Property / cites work @@
+Convergence of integrals of uniform empirical and quantile processes
+Normal rank
@@ Property / cites work @@
+A limit theorem for the maximum of normalized sums of independent random variables
+Normal rank
@@ Property / cites work @@
+Q4124141
@@ Property / cites work: Q4124141 / rank @@
+Normal rank
@@ Property / cites work @@
+Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
+Normal rank
@@ Property / cites work @@
+Q3851495
@@ Property / cites work: Q3851495 / rank @@
+Normal rank
@@ Property / cites work @@
+An approximation of partial sums of independent RV'-s, and the sample DF. I
+Normal rank
@@ Property / cites work @@
+An approximation of partial sums of independent RV's, and the sample DF. II
+Normal rank
@@ Property / cites work @@
+On the residuals of autoregressive processes and polynomial regression
+Normal rank
@@ Property / cites work @@
+Testing and estimating change-points in time series
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4149(93)90026-z
+Normal rank
@@ Property / OpenAlex ID @@
+W2070950559
@@ Property / OpenAlex ID: W2070950559 / rank @@
+Normal rank