Monitoring parameter change in AR\((p)\) time series models
From MaRDI portal
Publication:1002353
DOI10.1016/j.jmva.2008.08.005zbMath1163.62063MaRDI QIDQ1002353
Publication date: 25 February 2009
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2008.08.005
time series; change point; sequential test; strong approximations; efficient score vector; Page's CUSUM test
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62L10: Sequential statistical analysis
60F17: Functional limit theorems; invariance principles
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