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

页码：221 / 242

页数：22

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