MOSUM tests for parameter constancy

DOI10.1093/biomet/82.3.603zbMath0830.62079OpenAlexW1991965391MaRDI QIDQ4851510

Kurt Hornik, Chung-Ming Kuan, Chia-Shang James Chu

Publication date: 10 October 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2142/29909

zbMATH Keywords

tables Wiener process Brownian bridge CUSUM recursive residuals moving sums tests for structural change MOSUM test least-squares residuals asymptotical critical values moving-estimates test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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