Large-sample tests of homogeneity for time series models

DOI10.1093/BIOMET/71.1.203MaRDI QIDQ3314790zbMATH OpenOpenAlexFDO

Authors

Publication date 1984

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/71.1.203

zbMATH Keywords

autoregressive processeslarge-sample tests of homogeneitylikelihood ratio testmixed autoregressive-moving average processscore testtime series modelsWald statistic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(30)

• Time series clustering and classification by the autoregressive metric
• Large sample inference based on multiple observations from nonlinear autoregressive processes
• Parameter estimation in a stationary autoregressive process with correlated multiple observations
• Large sample inference for a multivariate linear model with autocorrelated errors
• Large sample estimation in nonstationary autoregressive processes with multiple observations
• Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice
• The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence
• Comparison of non-stationary time series in the frequency domain
• Comparing non-stationary and irregularly spaced time series
• A test to compare interval time series
• A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples
• Homogeneity tests on daily rainfall series in peninsular Malaysia
• Homogeneity tests for Lévy processes and applications
• Comparison of stationary time series using distribution-free methods
• Pattern recognition of time series using wavelets
• Estimation and hypothesis testing for collections of autoregressive time series
• On Hypotheses Testing for the Selection of Spatio-Temporal Models
• Statistical analysis of a spatio-temporal model with location-dependent parameters and a test for spatial stationarity
• scientific article; zbMATH DE number 3958499 (Why is no real title available?)
• Large-sample inference for a regression model with autocorrelated errors
• Testing homogeneity over time of a parameter of a markov sequence
• Generalized runs tests for heteroscedastic time series
• ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
• scientific article; zbMATH DE number 898408 (Why is no real title available?)
• The autoregressive metric for comparing time series models
• COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES
• USING WAVELETS TO COMPARE TIME SERIES PATTERNS
• A test for comparing two discrete stochastic dynamical systems under heteroskedasticity
• Testing homogeneity of a large data set by bootstrapping
• Comparison of time series using subsampling

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