Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise (Q2194049)
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| Language | Label | Description | Also known as |
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| English | Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise |
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Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise (English)
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25 August 2020
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This paper studies the likelihood ratio statistic to test the existence of change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise. The asymptotic behavior of the test under the null hypothesis (no change has occurred) is studied and simulations are performed to study the test behavior under the null hypothesis for intermediate size samples.
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autoregressive model
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change-point
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fractional Gaussian noise
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likelihood ratio test
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strong invariance principle
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