Score test statistic for change-point detection in AR time series with dependent errors
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10290807" target="_blank" >RIV/00216208:11320/14:10290807 - 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
Score test statistic for change-point detection in AR time series with dependent errors
Original language description
We study the behavior of a test statistics for detecting changes in the parameters of autoregressive time series when the assumption of i.i.d. white noise is violated and replaced with the assumption of having martingal difference sequence. We present asimularion study which shows the asymptotic behavior and the power of this 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
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
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 18th European Young Statisticians Meeting
ISBN
978-953-6931-70-5
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
57-61
Publisher name
J.J. Strossmayer University of Osijek
Place of publication
Osijek
Event location
Osijek
Event date
Aug 26, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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