On the detection of changes in autoregressive time series. I: Asymptotics.

DOI10.1016/j.jspi.2006.02.010zbMath1107.62090OpenAlexW2065153035MaRDI QIDQ872083

Zuzana Prášková, Josef G. Steinebach, Marie Hušková

Publication date: 27 March 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.02.010

zbMATH Keywords

time series change point analysis extreme value asymptotics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)

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