On Testing Changes in Parameters of an Autoregressive Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F09%3A00206694" target="_blank" >RIV/00216208:11320/09:00206694 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On Testing Changes in Parameters of an Autoregressive Model
Original language description
This paper deals with the problem of testing a single change in variance of the p-th order autoregressive process at an unknown change point. A test based on maximum likelihood principle was proposed and compared with other tests for detecting changes invariance via power functions of the test statistics.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GC201%2F09%2FJ006" target="_blank" >GC201/09/J006: Structural Breaks in Time Series</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
WDS'09 Proceedings of Contributed Papers: Part I - Mathematics
ISBN
978-80-7378-101-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Matfyzpress
Place of publication
Praha
Event location
Praha
Event date
Jan 1, 2009
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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