L_p-functionals for change point detection in random coefficient autoregressive models

DOI10.1016/J.SPL.2023.109829zbMATH Open1518.62012OpenAlexW4372203443MaRDI QIDQ6137828FDOQ6137828

Authors: Lajos Horváth, Lorenzo Trapani 

Publication date: 4 September 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109829

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zbMATH Keywords

random coefficient autoregressionchangepoint problemDarling-Erdős theoremweighted CUSUM process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Adaptive estimation in a random coefficient autoregressive model
• Autoregressive series with random parameters

Cited In (6)

• Structural change monitoring for random coefficient autoregressive time series
• A new bivariate autoregressive model driven by logistic regression
• Strong approximation for RCA(1) time series with applications
• Title not available (Why is that?)
• A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
• Change point analysis of covariance functions: a weighted cumulative sum approach

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