Testing for intercept-scale switch in linear autoregression

DOI10.1002/CJS.11137MaRDI QIDQ2856549zbMATH OpenOpenAlexFDO

Authors Florian Ketterer, Hajo Holzmann

Publication date 29 October 2013

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11137

zbMATH Keywords

time serieslikelihood ratio testswitching autoregression

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1932860 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• An Introduction to Regime Switching Time Series Models
• Hypothesis test for normal mixture models: the EM approach
• Non-finite Fisher information and homogeneity: an EM approach
• Testing for Regime Switching
• Testing for intercept-scale switch in linear autoregression
• Testing normality in autoregressive models
• Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
• The likelihood ratio test for the number of components in a mixture with Markov regime
• Tuning the EM-test for finite mixture models

Cited in

(9)

• A note on testing regime switching assumption based on recurrence times
• Testing for two components in a switching regression model
• Testing homogeneity in a scale mixture of normal distributions
• Testing for intercept-scale switch in linear autoregression
• Distribution switching in financial time series
• Testing for observation-dependent regime switching in mixture autoregressive models
• Modelling autoregressive processes with a shifting mean
• EM-test for homogeneity in a two-sample problem with a mixture structure
• Testing the linear regression model null hypothesis versus regime switching alternatives.

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