Structural changes in autoregressive models for binary time series
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Publication:394778
DOI10.1016/j.jspi.2013.05.009zbMath1279.62186OpenAlexW2081037471MaRDI QIDQ394778
Publication date: 27 January 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2013.05.009
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
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Cites Work
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- Consistency of an estimator of the number of changes in binomial observations
- Almost sure invariance principles for partial sums of mixing B-valued random variables
- Change in autoregressive processes
- The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability
- Mixing: Properties and examples
- The asymptotic distributions of maximum likelihood ratio test and maximally selected \(\chi^2\)-test in binomial observations
- Detection of structural changes in generalized linear models
- Monitoring changes in linear models
- Testing for a change in the parameter values and order of an autoregressive model
- Testing for change points in time series models and limiting theorems for NED sequences
- On the autopersistence functions and the autopersistence graphs of binary autoregressive time series
- Structural breaks in time series
- The power of likelihood ratio and cumulative sum tests for a change in a binomial probability
- Markov Chains and Stochastic Stability
- A simple cumulative sum type statistic for the change-point problem with zero-one observations
- DYNAMIC TIME SERIES BINARY CHOICE
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Interventions in INGARCH processes
- Changepoints in times series of counts
