Testing for intercept-scale switch in linear autoregression
DOI10.1002/CJS.11137zbMATH Open1281.62199OpenAlexW2084126948MaRDI QIDQ2856549FDOQ2856549
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
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Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- A constrained formulation of maximum-likelihood estimation for normal mixture distributions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Testing for Regime Switching
- Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
- Title not available (Why is that?)
- Hypothesis test for normal mixture models: the EM approach
- Testing normality in autoregressive models
- Testing for intercept-scale switch in linear autoregression
- Tuning the EM-test for finite mixture models
- Non-finite Fisher information and homogeneity: an EM approach
- Title not available (Why is that?)
- An Introduction to Regime Switching Time Series Models
- The likelihood ratio test for the number of components in a mixture with Markov regime
Cited In (9)
- Testing homogeneity in a scale mixture of normal distributions
- Modelling autoregressive processes with a shifting mean
- Testing for observation-dependent regime switching in mixture autoregressive models
- Testing the linear regression model null hypothesis versus regime switching alternatives.
- EM-test for homogeneity in a two-sample problem with a mixture structure
- Distribution switching in financial time series
- A note on testing regime switching assumption based on recurrence times
- Testing for intercept-scale switch in linear autoregression
- Testing for two components in a switching regression model
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