On Testing Changes in Parameters of an Autoregressive Model
نویسنده
چکیده
Abstract. This paper deals with the problem of testing a change in variance of the p-th order autoregressive process, AR(p), at an unknown change point τ . We propose a test based on maximum likelihood principle for detecting such type of change, find asymptotic distribution of the test statistic and compare it with the tests for detecting changes in both variance and autoregressive parameters via power functions of the test statistics.
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