Test for parameter change in linear processes based on whittle's estimator

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Bibliographic Details
Published inCommunications in statistics. Theory and methods Vol. 36; no. 12; pp. 2129 - 2141
Main Authors LEE, Taewook, LEE, Sangyeol
Format Journal Article
LanguageEnglish
Published Philadelphia, PA Taylor & Francis 2007
Subjects
Exact sciences and technology
General topics
Mathematics
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Statistics
Stochastic processes
Test statistic
primary 62M10; Secondary 62G20
Autoregressive moving average processes
Brownian bridge; Cusum test; Linear process; Test for parameter change; Weak convergence; Whittle's estimator
Change point
Linear test
Brownian bridge
Weak convergence
Statistical method
Linear process
Statistical test
Simulation
CUSUM method
Point process
Stationary process
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ISSN:0361-0926
1532-415X