M-procedures for detection of a change under weak dependence
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10283141" target="_blank" >RIV/00216208:11320/14:10283141 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.jspi.2014.01.006" target="_blank" >http://dx.doi.org/10.1016/j.jspi.2014.01.006</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jspi.2014.01.006" target="_blank" >10.1016/j.jspi.2014.01.006</a>
Alternative languages
Result language
angličtina
Original language name
M-procedures for detection of a change under weak dependence
Original language description
Procedures detecting a change of regression parameters in a linear model are considered when both the regressors and errors are weakly dependent in the sense of L-p-m-approximability. M-estimators and weighted M-residuals are used to construct test statistics, and their asymptotic distribution is studied under the null hypothesis of no change and under contiguous alternatives. Estimators of a long-run variance are also considered and studied both analytically and numerically.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Statistical Planning and Inference
ISSN
0378-3758
e-ISSN
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Volume of the periodical
149
Issue of the periodical within the volume
June
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
17
Pages from-to
60-76
UT code for WoS article
000336705800008
EID of the result in the Scopus database
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