Testing for parameter stability in \(RCA(1)\) time series
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Publication:2498758
DOI10.1016/j.jspi.2005.01.003zbMath1094.62110OpenAlexW2084329875MaRDI QIDQ2498758
Publication date: 16 August 2006
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2005.01.003
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)
Related Items (7)
Simultaneous bootstrap for all three parameters in random coefficient autoregressive models ⋮ Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes ⋮ BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Monitoring shifts in mean: asymptotic normality of stopping times ⋮ Resolvent estimators for functional autoregressive processes with random coefficients ⋮ Structural Change Monitoring for Random Coefficient Autoregressive Time Series
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