Testing for a change in the parameter values and order of an autoregressive model

DOI10.1214/aos/1176324468zbMath0822.62072OpenAlexW2011865072MaRDI QIDQ1895360

Richard A. Davis, Yi-Ching Yao, Dawei Huang

Publication date: 18 October 1995

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324468

zbMATH Keywords

order strong mixing autoregressive model change point problem asymptotic null distribution asymptotically distribution-free procedure Gumbel extreme value distribution normalized Gaussian likelihood ratio test statistic white noise variance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (69)

INVARIANCE PRINCIPLES FOR CHANGE-POINT PROBLEMS UNDER DEPENDENT RANDOM VARIABLES ⋮ Detecting at‐Most‐m Changes in Linear Regression Models ⋮ Empirical likelihood for change point detection in autoregressive models ⋮ On consistency of minimum description length model selection for piecewise autoregressions ⋮ Testing for change points in time series models and limiting theorems for NED sequences ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ On the detection of changes in autoregressive time series. I: Asymptotics. ⋮ A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis ⋮ Heteroscedasticity and Autocorrelation Robust Structural Change Detection ⋮ ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES ⋮ Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México ⋮ Subsampling tests for variance changes in the presence of autoregressive parameter shifts ⋮ Structural changes in autoregressive models for binary time series ⋮ A Bayesian detection of structural changes in autoregressive time series models ⋮ Testing for changes in linear models using weighted residuals ⋮ Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise ⋮ Testing for changes in the mean or variance of long memory processes ⋮ Maximum likelihood ratio test for the stability of sequence of Gaussian random processes ⋮ Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise ⋮ Modified tests for variance changes in autoregressive regression ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ A Bayesian analysis of a change in the parameters of autoregressive time series ⋮ Multiple breaks detection in general causal time series using penalized quasi-likelihood ⋮ A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters ⋮ Multiple change point detection and validation in autoregressive time series data ⋮ Testing for variance changes in autoregressive models with unknown order ⋮ Testing for structural stability in the whole sample ⋮ Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models ⋮ Serial rank statistics for detection of changes. ⋮ A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN ⋮ Change point testing for the drift parameters of a periodic mean reversion process ⋮ Comparative performance analysis of the Cumulative Sum chart and the Shiryaev‐Roberts procedure for detecting changes in autocorrelated data ⋮ Break Detection for a Class of Nonlinear Time Series Models ⋮ Likelihood inference for discriminating between long‐memory and change‐point models ⋮ Changepoints in times series of counts ⋮ Unnamed Item ⋮ Detecting Markov random fields hidden in white noise ⋮ A more powerful test identifying the change in mean of functional data ⋮ Change detection in autoregressive time series ⋮ Segmenting mean-nonstationary time series via trending regressions ⋮ On the detection of changes in autoregressive time series. II: Resampling procedures ⋮ Testing for changes in the mean or variance of a stochastic process under weak invariance ⋮ Inference of time-varying regression models ⋮ On Testing Changes in Autoregressive Parameters of a VAR Model ⋮ Information criterion for Gaussian change-point model ⋮ Extensions of some classical methods in change point analysis ⋮ ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS ⋮ The effect of long-range dependence on change-point estimators ⋮ Ensemble Binary Segmentation for irregularly spaced data with change-points ⋮ Testing for changes in the covariance structure of linear processes ⋮ A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models ⋮ Optimal change-point estimation in time series ⋮ Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series ⋮ Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models ⋮ Testing for changes in multivariate dependent observations with an application to temperature changes ⋮ An asymptotic test for constancy of the variance under short-range dependence ⋮ Estimation of a change-point in the mean function of functional data ⋮ Change-point problems: bibliography and review ⋮ Mean shift testing in correlated data ⋮ Testing for structural change of AR model to threshold AR model ⋮ Anomaly detection: a functional analysis perspective ⋮ Structural breaks in time series ⋮ Change-Point Detection in Binomial Thinning Processes, with Applications in Epidemiology ⋮ Consistent two‐stage multiple change‐point detection in linear models ⋮ Time-varying nonlinear regression models: nonparametric estimation and model selection ⋮ Misspecified structural change, threshold, and Markov-switching models.

This page was built for publication: Testing for a change in the parameter values and order of an autoregressive model