On Change Detection in Stationary Vector Autoregressive Processes
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10103365" target="_blank" >RIV/00216208:11320/11:10103365 - 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 Change Detection in Stationary Vector Autoregressive Processes
Original language description
Changepoint detection is an important topic in statistical modeling. Models suggested in the past do not have to be valid any longer because of sudden economical or political shocks, natural disasters etc. When the change in the underlying model is not discovered it may lead to the wrong forecasts, and the global accuracy of such models decays. It is therefore helpful to decide whether the change occurs in the model in the sense it is statistically significant or not. We propose some of the tests statistics which are helpful to detect a change in parameters of the p-th order vector autoregressive process, VAR(p). The test statistics are based on the concept of maximum likelihood and limiting properties are derived using invariance principle.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
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)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 17th European Young Statisticians Meeting
ISBN
978-972-8893-27-9
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
79-83
Publisher name
Faculdade de Ci?ncias e Tecnologia Universidade Nova de Lisboa
Place of publication
Lisbon, Portugal
Event location
Caparica, Portugal
Event date
Sep 5, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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