Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series
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Publication:3851481
DOI10.2307/1267753zbMath0418.62076MaRDI QIDQ3851481
Publication date: 1979
Full work available at URL: https://doi.org/10.2307/1267753
asymptotic distribution; Monte Carlo; jackknife; autoregressive process; robust test; power functions; Pitman asymptotic relative efficiency; Box-Andersen test; detection of shifts; variance of time series
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F35: Robustness and adaptive procedures (parametric inference)
65C05: Monte Carlo methods
62F05: Asymptotic properties of parametric tests
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