Darling-Erdos-type-test for change detection in parameters and variance for stationary VAR models
Result description
Asymptotic distribution of the test for the detection changes both in the autoregressive parameters and the variance of a VAR sequence
Keywords
The result's identifiers
Result code in IS VaVaI
Result on the web
DOI - Digital Object Identifier
Alternative languages
Result language
angličtina
Original language name
Darling-Erdos-type-test for change detection in parameters and variance for stationary VAR models
Original language description
Asymptotic distribution of the test for the detection changes both in the autoregressive parameters and the variance of a VAR sequence
Czech name
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Czech description
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Classification
Type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
GAP201/12/1277: Statistical modelling trends for dependent data
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Communications in Statistics - Theory and Methods
ISSN
0361-0926
e-ISSN
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Volume of the periodical
2017/46
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
20
Pages from-to
465-484
UT code for WoS article
000385548000036
EID of the result in the Scopus database
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Basic information
Result type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
OECD FORD
Statistics and probability
Year of implementation
2017