Journal
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
Volume 139, Issue 6, Pages 2044-2063Publisher
ELSEVIER
DOI: 10.1016/j.jspi.2008.09.004
Keywords
Approximations; Brownian bridge; Change in parameters; Linear processes
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We consider several procedures to detect changes in the mean or the covariance structure of a linear process. The tests are based on the weighted CUSUM process. The limit distributions of the test statistics are derived under the no change null hypothesis. We develop new strong and weak approximations for the sample mean as well as the sample correlations of linear processes. A small Monte Carlo simulation illustrates the applicability of our results. (c) 2008 Elsevier B.V. All rights reserved.
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