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Asymptotic and Bootstrap Tests for a Change in Autoregression Omitting Variability Estimation

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F18%3A00484127" target="_blank" >RIV/67985807:_____/18:00484127 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216208:11320/18:10383236

  • Result on the web

    <a href="http://dx.doi.org/10.1007/978-3-319-96944-2_13" target="_blank" >http://dx.doi.org/10.1007/978-3-319-96944-2_13</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/978-3-319-96944-2_13" target="_blank" >10.1007/978-3-319-96944-2_13</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Asymptotic and Bootstrap Tests for a Change in Autoregression Omitting Variability Estimation

  • Original language description

    A sequence of time-ordered observations follows an autoregressive model of order one and its parameter is possibly subject to change at most once at some unknown time point. The aim is to test whether such an unknown change has occurred or not. A change-point method presented here rely on a ratio type test statistic based on the maxima of cumulative sums. The main advantage of the developed approach is that the variance of the observations neither has to be known nor estimated. Asymptotic distribution of the test statistic under the no-change null hypothesis is derived. Moreover, we prove the consistency of the test under the alternative. A bootstrap procedure is proposed in the way of a completely data-driven technique without any tuning parameters. The results are illustrated through a simulation study, which demonstrates the computational efficiency of the procedure. A practical application to real data is presented as well.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    10103 - Statistics and probability

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Time Series Analysis and Forecasting: Selected Contributions from ITISE 2017

  • ISBN

    978-3-319-96943-5

  • ISSN

    1431-1968

  • e-ISSN

  • Number of pages

    16

  • Pages from-to

    187-202

  • Publisher name

    Springer

  • Place of publication

    Cham

  • Event location

    Granada

  • Event date

    Sep 18, 2017

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article