Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise

Alexandre Brouste (), Chunhao Cai (), Marius Soltane () and Longmin Wang ()
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Alexandre Brouste: Le Mans Université
Chunhao Cai: Shanghai University of Finance and Economics
Marius Soltane: Le Mans Université
Longmin Wang: Nankai University

Statistical Inference for Stochastic Processes, 2020, vol. 23, issue 2, No 4, 318 pages

Abstract: Abstract The likelihood ratio test for a change in the mean-reverting parameter of a first order autoregressive model with stationary Gaussian noise is considered. The test statistic converges in distribution to the Gumbel extreme value distribution under the null hypothesis of no change-point for a large class of covariance structures including long-memory processes as the fractional Gaussian noise.

Keywords: Autoregressive model; Change-point; Fractional Gaussian noise; Likelihood ratio test; Strong invariance principle (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11203-020-09217-1

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