MOSUM tests for parameter constancy
From MaRDI portal
Publication:4851510
DOI10.1093/biomet/82.3.603zbMath0830.62079OpenAlexW1991965391MaRDI QIDQ4851510
Kurt Hornik, Chung-Ming Kuan, Chia-Shang James Chu
Publication date: 10 October 1995
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2142/29909
tablesWiener processBrownian bridgeCUSUMrecursive residualsmoving sumstests for structural changeMOSUM testleast-squares residualsasymptotical critical valuesmoving-estimates test
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)
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