Monitoring parameter change in AR\((p)\) time series models
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Publication:1002353
DOI10.1016/J.JMVA.2008.08.005zbMath1163.62063OpenAlexW2025168569MaRDI 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, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17)
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Cites Work
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- The Effect of Serial Correlation on the Performance of CUSUM Tests
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