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Change in autoregressive processes

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  • Horváth, Lajos

Abstract

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 Lp-functionals of the residual sums. Some limit theorems are proven under necessary and sufficient conditions.

Suggested Citation

  • Horváth, Lajos, 1993. "Change in autoregressive processes," Stochastic Processes and their Applications, Elsevier, vol. 44(2), pages 221-242, February.
    • Handle: RePEc:eee:spapps:v:44:y:1993:i:2:p:221-242
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    Cited by:

    1. Park, Chul Gyu & Shin, Dong Wan, 1996. "On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 341-346, May.

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