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- W1549659675 abstract "We consider a process $ X=(X_t)_{tinZ}$ belonging to a large class of causal models. We assume that the model depends on a parameter $theta_0$ and consider the problem of test for change of the parameter. The test statistic is based on the quasi-maximum likelihood estimator (QLME) of the parameter. Given a significance level $alphain (0,1)$, it is shown that the asymptotic size of the test less than $alpha$. Under the local alternative that there is one change, we show that the test statistic converges almost surely to $infty$. Some simulation results for AR(1), ARCH(1) and GARCH(1,1) models are reported." @default.
- W1549659675 created "2016-06-24" @default.
- W1549659675 creator A5041809293 @default.
- W1549659675 date "2011-01-31" @default.
- W1549659675 modified "2023-09-27" @default.
- W1549659675 title "A test for parameter change in general causal time series models" @default.
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