Change in autoregressive processes

DOI10.1016/0304-4149(93)90026-ZzbMath0769.62067OpenAlexW2070950559MaRDI QIDQ1208942

Lajos Horváth

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90026-z

zbMATH Keywords

strong approximationchange-pointstationary autoregressive processLp-functionalsresidual sumsweighted supremum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (21)

Monitoring procedure for parameter change in causal time series ⋮ Effect of dependence on statistics for determination of change ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ Testing for parameter constancy in general causal time-series models ⋮ On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root ⋮ On the detection of changes in autoregressive time series. I: Asymptotics. ⋮ A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis ⋮ Retrospective change detection for binary time series models ⋮ Structural changes in autoregressive models for binary time series ⋮ A test for parameter change in general causal time series using quasi-likelihood estimator ⋮ Testing for changes in the mean or variance of long memory processes ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ Serial rank statistics for detection of changes. ⋮ Changepoints in times series of counts ⋮ Detecting Markov random fields hidden in white noise ⋮ Testing for changes in the mean or variance of a stochastic process under weak invariance ⋮ The effect of long-range dependence on change-point estimators ⋮ Hölder convergence of autoregression residuals partial sum processes ⋮ Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives ⋮ Change-point problems for multivariate time series using pseudo-observations

Cites Work

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• Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
• Convergence of integrals of uniform empirical and quantile processes
• Testing and estimating change-points in time series
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I

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