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

DOI10.1214/AOS/1176324468zbMATH Open0822.62072OpenAlexW2011865072MaRDI QIDQ1895360FDOQ1895360

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

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

Recommendations

• Testing for variance changes in autoregressive models with unknown order
• Test for Parameter Change in ARIMA Models
• On testing changes in autoregressive parameters of a VAR model
• Test for parameter changes in generalized random coefficient autoregressive model
• Parameter change test for autoregressive conditional duration models
• scientific article; zbMATH DE number 5926363
• Modified testing for structural changes in autoregressive processes
• Testing for change-point of the first-order autoregressive time series models

zbMATH Keywords

strong mixingautoregressive modelorderchange point problemasymptotic null distributionasymptotically distribution-free procedureGumbel extreme value distributionnormalized Gaussian likelihood ratio test statisticwhite 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)

Cited In (77)

• Structural changes in autoregressive models for binary time series
• Changepoints in times series of counts
• A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
• Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series
• Title not available (Why is that?)
• A Bayesian analysis of a change in the parameters of autoregressive time series
• Change in autoregressive processes
• Testing for structural change of AR model to threshold AR model
• A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• A likelihood ratio approach to sequential change point detection for a general class of parameters
• Multiple breaks detection in general causal time series using penalized quasi-likelihood
• Detecting Markov random fields hidden in white noise
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• Empirical likelihood for change point detection in autoregressive models
• Testing for changes in the covariance structure of linear processes
• On-line monitoring of pollution concentrations with autoregressive moving average time series
• Estimation of a change-point in the mean function of functional data
• Inference of time-varying regression models
• Serial rank statistics for detection of changes.
• Likelihood inference for discriminating between long-memory and change-point models
• Testing for changes in multivariate dependent observations with an application to temperature changes
• Testing for structural stability in the whole sample
• Testing the autoregressive parameter with the t statistic
• Information criterion for Gaussian change-point model
• Extensions of some classical methods in change point analysis
• A more powerful test identifying the change in mean of functional data
• Multiple change point detection and validation in autoregressive time series data
• On the detection of changes in autoregressive time series. II: Resampling procedures
• Structural breaks in time series
• On consistency of minimum description length model selection for piecewise autoregressions
• Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
• Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• 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
• Monitoring changes in the error distribution of autoregressive models based on Fourier methods
• Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Time-varying nonlinear regression models: nonparametric estimation and model selection
• Testing for variance changes in autoregressive models with unknown order
• Invariance principles for change-point problems under dependent random variables
• Testing for parameter stability in nonlinear autoregressive models
• Ensemble binary segmentation for irregularly spaced data with change-points
• The effect of long-range dependence on change-point estimators
• Estimating a gradual parameter change in an AR(1)-process
• Modified tests for variance changes in autoregressive regression
• Optimal change-point estimation in time series
• Maximum likelihood ratio test for the stability of sequence of Gaussian random processes
• Break detection for a class of nonlinear time series models
• Change point testing for the drift parameters of a periodic mean reversion process
• Misspecified structural change, threshold, and Markov-switching models.
• Change-point detection in autoregressive models with no moment assumptions
• An asymptotic test for constancy of the variance under short-range dependence
• Estimation of change-points in linear and nonlinear time series models
• Test for Parameter Change in ARIMA Models
• Anomaly detection: a functional analysis perspective
• On testing changes in autoregressive parameters of a VAR model
• Change detection in autoregressive time series
• Testing for change points in time series models and limiting theorems for NED sequences
• Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
• Change-point problems: bibliography and review
• Mean shift testing in correlated data
• Change-point detection in binomial thinning processes, with applications in epidemiology
• Segmenting mean-nonstationary time series via trending regressions
• Parameter change test for periodic integer-valued autoregressive process
• Likelihood ratio tests for the structural change of an AR(\(p\)) model to a threshold AR(\(p\)) model
• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
• A test for weak stationarity in the spectral domain
• A Bayesian detection of structural changes in autoregressive time series models
• Detecting changes in the transmission rate of a stochastic epidemic model
• Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise
• Testing for changes in linear models using weighted residuals
• A New Class of Change Point Test Statistics of Rényi Type
• Title not available (Why is that?)
• Consistent two‐stage multiple change‐point detection in linear models

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1895360)