Change detection in autoregressive time series

Edit Gombay

Journal of Multivariate Analysis, 2008, vol. 99, issue 3, 451-464

Abstract: Autoregressive time series models of order p have p+2 parameters, the mean, the variance of the white noise and the p autoregressive parameters. Change in any of these over time is a sign of disturbance that is important to detect. The methods of this paper can test for change in any one of these p+2 parameters separately, or in any collection of them. They are available in forms that make one-sided tests possible, furthermore, they can be used to test for a temporary change. The test statistics are based on the efficient score vector. The large sample properties of the change-point estimator are also explored.

Keywords: Time; series; Efficient; score; vector; Strong; approximation; Invariance; Principles; Brownian; bridge (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (13)

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