Testing and estimating change-points in time series
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Publication:3709708
DOI10.2307/1427090zbMath0585.62151OpenAlexW2105284151MaRDI QIDQ3709708
Publication date: 1985
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1427090
likelihood ratio testchange-point problemtime seriesBrownian motionmeanstationary processescovariance structureautoregressive processKolmogorov-Smirnov testasymptotic distribution of the maximum likelihood estimatorsfailure in spectrum
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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