Testing for a change in the parameter values and order of an autoregressive model
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Publication:1895360
DOI10.1214/AOS/1176324468zbMath0822.62072OpenAlexW2011865072MaRDI QIDQ1895360
Richard A. Davis, Yi-Ching Yao, Dawei Huang
Publication date: 18 October 1995
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176324468
orderstrong mixingautoregressive modelchange point problemasymptotic null distributionasymptotically distribution-free procedureGumbel extreme value distributionnormalized Gaussian likelihood ratio test statisticwhite noise variance
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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