Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times

DOI10.1016/0304-4149(89)90045-8zbMath0679.62056OpenAlexW1999629533MaRDI QIDQ1822870

Venkata K. Jandhyala, Ian B. MacNeill

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90045-8

zbMATH Keywords

change-point problemGaussian processesweight sequencespartial sum processesharmonic regressionasymptotic forms of two- sided change detection statistics for linear regression modelsCramér-von Mises type functionalsCramér-von Mises type stochastic integralsdistributions of stochastic integralsfunctions of standard Brownian motionLimit processespartial sums of linear functions of regression residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Fredholm integral equations (45B05)

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Cites Work

• Unnamed Item
• On the residuals of autoregressive processes and polynomial regression
• Tests for parameter changes at unknown times in linear regression models
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Limit processes for sequences of partial sums of regression residuals
• Tests for change of parameter at unknown times and distributions of some related functionals on Brownian motion
• Asymptotic distributions for quadratic forms with applications to tests of fit
• The residual process for non-linear regression
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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