Test for parameter change based on the estimator minimizing density-based divergence meas\-ures

DOI10.1007/BF02509239zbMath1095.62024MaRDI QIDQ2501357

Sangyeol Lee, Okyoung Na

Publication date: 6 September 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

tables; weak convergence; Brownian bridge; CUSUM test; density-based divergence measures; robustness property; test for parameter changes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F17: Functional limit theorems; invariance principles

62F05: Asymptotic properties of parametric tests

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Robust estimation for the covariance matrix of multi-variate time series, Comments on: ``Extensions of some classical methods in change point analysis, Minimum density power divergence estimator for GARCH models, Two-sample homogeneity tests based on divergence measures, Estimation of a tail index based on minimum density power divergence, Minimum density power divergence estimator for diffusion processes

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