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Inferences about the parameters of a time series model with changing variance

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  • B. Abraham
  • W. Wei

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  • B. Abraham & W. Wei, 1984. "Inferences about the parameters of a time series model with changing variance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 183-194, December.
    • Handle: RePEc:spr:metrik:v:31:y:1984:i:1:p:183-194
    DOI: 10.1007/BF01915199
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    References listed on IDEAS

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    1. Bovas Abraham & George E. P. Box, 1978. "Linear Models and Spurious Observations," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 27(2), pages 131-138, June.
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    Cited by:

    1. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    2. Baisuo Jin & Mong-Na Lo Huang & Baiqi Miao, 2011. "Testing for variance changes in autoregressive models with unknown order," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(5), pages 927-936, January.
    3. De Gooijer, Jan G., 2006. "Detecting change-points in multidimensional stochastic processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1892-1903, December.
    4. Wenzhi Zhao & Zheng Tian & Zhiming Xia, 2010. "Ratio test for variance change point in linear process with long memory," Statistical Papers, Springer, vol. 51(2), pages 397-407, June.
    5. Galeano, Pedro, 2004. "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS ws041305, Universidad Carlos III de Madrid. Departamento de Estadística.

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