CHANGE IN AUTOREGRESSIVE PROCESSES

被引：25
|
作者：
HORVATH, L
机构：
[1] Department of Mathematics, University of Utah, Salt Lake City
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1993年 / 44卷 / 02期
关键词：
AUTOREGRESSIVE PROCESS; CHANGE-POINT; STRONG APPROXIMATION; WEIGHTED SUPREMA; WEIGHTED LP-FUNCTIONALS;
D O I：
10.1016/0304-4149(93)90026-Z
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the detection of a possible change in a stationary autoregressive process of order r. The test statistics are based on weighted supremum and L(p)-functionals of the residual sums. Some limit theorems are proven under necessary and sufficient conditions.
引用
收藏
页码：221 / 242
页数：22
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