Testing for parameter constancy in non-Gaussian time series

DOI10.1111/j.1467-9892.2012.00810.xzbMath1274.62592MaRDI QIDQ2852478

Lu Han, B. P. M. McCabe

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00810.x

zbMATH Keywords

CUSUM test; non-Gaussian time series; discrete valued count time series; sup-test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

65C40: Numerical analysis or methods applied to Markov chains

62M07: Non-Markovian processes: hypothesis testing

Related Items

Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series, A new minification integer‐valued autoregressive process driven by explanatory variables, Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model

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