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

DOI10.1016/J.CRMA.2012.03.001zbMATH Open1236.62108OpenAlexW2048240670MaRDI QIDQ412603FDOQ412603

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

Recommendations

• Testing for parameter constancy in general causal time-series models
• Monitoring procedure for parameter change in causal time series
• Tests for parameter changes in time series
• Test for parameter change in stochastic processes based on conditional least-squares estimator
• Epidemic change-point detection in general causal time series

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)

Cites Work

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

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

This page was built for publication: A test for parameter change in general causal time series using quasi-likelihood estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q412603)