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Change in autoregressive processes

Lajos Horvath

Stochastic Processes and their Applications, 1993, vol. 44, issue 2, 221-242

Abstract: We study the detection of a possible change in a stationary autoregressive process of order r. The test statistics are based on weighted supremum and Lp-functionals of the residual sums. Some limit theorems are proven under necessary and sufficient conditions.

Date: 1993
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