Detecting Relevant Changes in Time Series Models

DOI10.1111/RSSB.12121zbMath1414.62360arXiv1403.8120OpenAlexW1923328694MaRDI QIDQ5378358

Dominik Wied, Dette, Holger

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.8120

zbMATH Keywords

strong mixingchange point analysisweak convergence under the alternativecumulative sumprecise hypothesesrelevant changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

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