On the cusum of squares test for variance change in nonstationary and nonparametric time series models

Sangyeol Lee, Okyoung Na and Seongryong Na

Annals of the Institute of Statistical Mathematics, 2003, vol. 55, issue 3, 467-485

Keywords: Cusum of squares test; variance change; autoregressive model with unit roots; nonparametric regression model; strong mixing process; weak convergence; Brownian bridge (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/BF02517801

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