The generalized fluctuation test: A unifying view

DOI10.1080/07474939508800311zbMath0832.62085OpenAlexW1971790567MaRDI QIDQ4853092

Kurt Hornik, Chung-Ming Kuan

Publication date: 5 March 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800311

zbMATH Keywords

functional central limit theoremWiener processBrownian bridgeCUSUMsimulationsstructural changerange testMOSUMrecursive estimategeneralized fluctuation testmoving estimatesmoving-estimates testrecursive-estimates testtests for parameter constancyunified asymptotic result

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Inference from stochastic processes (62M99) Non-Markovian processes: hypothesis testing (62M07)

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