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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BA - General mathematics

  • OECD FORD branch

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

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

  • 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