The effect of serial correlation on tests for parameter change at unknown time

DOI10.1214/aos/1176349042zbMath0771.62072OpenAlexW2067981067MaRDI QIDQ2366758

S. M. Tang, Ian B. MacNeill

Publication date: 23 August 1993

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

Full work available at URL: https://doi.org/10.1214/aos/1176349042

zbMATH Keywords

serial correlationpartial sumsspectral densityregression modelsstationary time seriesdesign effectnoise processcumulative sumsadjustments to change-point test statisticsdeffdistributions of change-point statisticsgeneral linear regression modelshigh frequency masslow frequency spectral massresiduals processesstationary error structuretype 1 error rates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15)

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