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

DOI10.1016/J.SPL.2023.109829MaRDI QIDQ6137828zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Change in autoregressive processes
• Testing and estimating change-points in time series
• The Cusum Test for Parameter Change in Time Series Models
• Structural change monitoring for random coefficient autoregressive time series
• Monitoring parameter changes in RCA(\(p\)) models

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• 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
• Change point analysis of covariance functions: a weighted cumulative sum approach
• A new bivariate autoregressive model driven by logistic regression
• A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
• scientific article; zbMATH DE number 7448681 (Why is no real title available?)
• Strong approximation for RCA(1) time series with applications

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