Testing for a change in the parameter values and order of an autoregressive model (Q1895360): Difference between revisions

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Latest revision as of 12:21, 16 December 2024

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Testing for a change in the parameter values and order of an autoregressive model
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    Testing for a change in the parameter values and order of an autoregressive model (English)
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    18 October 1995
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    change point problem
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    strong mixing
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    autoregressive model
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    normalized Gaussian likelihood ratio test statistic
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    Gumbel extreme value distribution
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    asymptotically distribution-free procedure
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    white noise variance
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    order
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    asymptotic null distribution
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