Detecting changes in the ar parameters of a nonstationary arma process

DOI10.1080/17442508608833370MaRDI QIDQ3732797zbMATH OpenOpenAlexFDO

Authors George V. Moustakides, Albert Benveniste

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833370

zbMATH Keywords

asymptotic normalityasymptotic distributionchange pointinstrumental variables methoddetection of parameter changenon-stationary ARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• A survey of design methods for failure detection in dynamic systems
• Asymptotic inference in stationary Gaussian time-series
• Optimal instrumental variable estimation and approximate implementations
• Sequential detection of abrupt changes in spectral characteristics of digital signals
• Single sample modal identification of a nonstationary stochastic process
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model

Cited in

(16)

• Subspace-based algorithms for structural identification, damage detection, and sensor data fusion
• On covariance function tests used in system identification
• Detecting structural changes with ARMA processes
• scientific article; zbMATH DE number 4060587 (Why is no real title available?)
• scientific article; zbMATH DE number 3983038 (Why is no real title available?)
• Subspace-based fault detection robust to changes in the noise covariances
• Detection and diagnosis of changes in the eigenstructure of nonstationary multivariable systems
• Subspace-based fault detection algorithms for vibration monitoring
• On the distribution of the test statistic for detecting a point of change in real and Gaussian A.R.M.A. parameters
• Detecting changes in signals and systems - a survey
• Analysis of multiple model method for change detection of AR processes
• A new sequential test for detection of a point of change in ARMA parameters
• Performance evaluation of some methods for off-line detection of changes in autoregressive signals
• Optimum robust detection of changes in the AR part of a multivariable ARMA process
• scientific article; zbMATH DE number 3873200 (Why is no real title available?)
• Autoregressive and adaptive estimation with an application to hurricane track prediction

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