Detecting Changes in the Regression Parameter of AR(1) and RCA(1) Processes with Changing Errors

Lajos Horváth ()
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Lajos Horváth: University of Utah, Department of Mathematics

Chapter Chapter 4 in Asymptotic and Methodological Statistics, 2026, pp 59-82 from Springer

Abstract: Abstract We investigate change points in the autoregression parameters of AR(1) and RCA(1) sequences. The errors are allowed to be heteroscedastic. We split the data into two subsets at time k and estimate the autoregression parameter from both subsamples. If the difference between the estimates is large for some k, we reject the stability of the data. We discuss the effect of heteroscedasticity on the limit processes.

Date: 2026
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DOI: 10.1007/978-3-032-07178-1_4

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