期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 99, 期 3, 页码 451-464出版社
ELSEVIER INC
DOI: 10.1016/j.jmva.2007.01.003
关键词
time series; efficient score vector; strong approximation; invariance; principles; Brownian bridge
Autoregressive time series models of order p have p + 2 parameters, the mean, the variance of the white noise and the p autoregressive parameters. Change in any of these over time is a sign of disturbance that is important to detect. The methods of this paper can test for change in any one of these p + 2 parameters separately, or in any collection of them. They are available in forms that make one-sided tests possible, furthermore, they can be used to test for a temporary change. The test statistics are based on the efficient score vector. The large sample properties of the change-point estimator are also explored. (C) 2007 Elsevier Inc. All rights reserved.
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