Testing for a change in the parameter values and order of an autoregressive model (Q1895360)
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scientific article; zbMATH DE number 786215
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| English | Testing for a change in the parameter values and order of an autoregressive model |
scientific article; zbMATH DE number 786215 |
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Testing for a change in the parameter values and order of an autoregressive model (English)
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18 October 1995
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change point problem
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strong mixing
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autoregressive model
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normalized Gaussian likelihood ratio test statistic
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Gumbel extreme value distribution
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asymptotically distribution-free procedure
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white noise variance
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order
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asymptotic null distribution
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0.9303172
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0.92071307
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0.9206368
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0.9134104
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0.9123719
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0.9056721
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