Moving estimates test with time varying bandwidth

DOI10.1016/j.jmva.2007.02.003zbMath1116.62097OpenAlexW2036252467MaRDI QIDQ996978

Sangyeol Lee, Okyoung Na

Publication date: 19 July 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.02.003

zbMATH Keywords

time seriestest for parameter changestrong mixing processescusum testmoving estimates test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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Cites Work

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• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum Test for Parameter Change in Time Series Models
• The generalized fluctuation test: A unifying view

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