A test for parameter change in general causal time series using quasi-likelihood estimator

DOI10.1016/J.CRMA.2012.03.001MaRDI QIDQ412603zbMATH OpenOpenAlexFDO

Authors William Charky Kengne

Publication date 4 May 2012

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2012.03.001

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cites work

• A test for a change in a parameter occurring at an unknown point
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Break detection in the covariance structure of multivariate time series models
• Change in autoregressive processes
• Dependence in probability and statistics
• High moment partial sum processes of residuals in GARCH models and their applications
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• On the Cusum test for parameter changes in garch(1,1) Models
• Test for parameter change in ARMA models with GARCH innovations
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• Testing for parameter changes in ARCH models
• Testing for parameter constancy in GARCH\((p,q)\) models
• Testing for parameter constancy in general causal time-series models
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(3)

• Testing for parameter constancy in general causal time-series models
• Monitoring procedure for parameter change in causal time series
• Inference and model selection in general causal time series with exogenous covariates

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