Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models

Marek Dvořák

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 1, 465-484

Abstract: The aim of this article is the construction of the test statistic for the detection of changes in vector autoregressive (AR) models where both AR parameters and the variance matrix of the error term are the subjects of a change. The approximating distribution of the proposed statistic is the Gumbel distribution. The proof stands on the approximation of weakly dependent random vectors by independent ones and by application of Horváth’s extension of Darling-Erdös extremal result for random vectors, see Darling and Erdös (1956) and Horváth (1993). The test statistic is a modification of the likelihood ratio.

Date: 2017
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DOI: 10.1080/03610926.2014.995828

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