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Test for parameter change based on the estimator minimizing density-based divergence measures

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  • Sangyeol Lee
  • Okyoung Na

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  • Sangyeol Lee & Okyoung Na, 2005. "Test for parameter change based on the estimator minimizing density-based divergence measures," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 553-573, September.
    • Handle: RePEc:spr:aistmt:v:57:y:2005:i:3:p:553-573
    DOI: 10.1007/BF02509239
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    References listed on IDEAS

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    1. Ayanendranath Basu & Bruce Lindsay, 1994. "Minimum disparity estimation for continuous models: Efficiency, distributions and robustness," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(4), pages 683-705, December.
    2. Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 781-796, December.
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    Citations

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    Cited by:

    1. Max Wornowizki & Roland Fried, 2016. "Two-sample homogeneity tests based on divergence measures," Computational Statistics, Springer, vol. 31(1), pages 291-313, March.
    2. Sangyeol Lee & Junmo Song, 2013. "Minimum density power divergence estimator for diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(2), pages 213-236, April.
    3. Lee, Sangyeol & Kim, Dongwon & Kim, Byungsoo, 2023. "Modeling and inference for multivariate time series of counts based on the INGARCH scheme," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
    4. Mamadou Lamine Diop & William Kengne, 2023. "A general procedure for change-point detection in multivariate time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 1-33, March.
    5. Kim, Moosup & Lee, Sangyeol, 2008. "Estimation of a tail index based on minimum density power divergence," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2453-2471, November.
    6. Nirian Martín & Leandro Pardo, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 279-282, June.

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