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- W2097633087 abstract "Abstract Tests are proposed for detecting possible changes in parameters when the observations are obtained sequentially in time. While deriving the tests the alternative one has in mind specifies the parameter process as a martingale. The distribution theory of these tests relies on the large-sample results; that is, only the limiting null distributions are known (except in very special cases). The main tool in establishing these limiting distributions is weak convergence of stochastic processes. Suppose that we have vector-valued observations x 1, …, x n obtained sequentially in time (or ordered in some other linear fashion). Their joint distribution is described by determining the initial distribution for x 1 and the conditional distribution for each x k given the past up to x k–1. Suppose further that these distributions depend on a p-dimensional parameter vector θ. At least locally (i.e., in a short time period) this may be more or less legitimate. In the long run, however, the possibility of some ch..." @default.
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- W2097633087 date "1989-03-01" @default.
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- W2097633087 title "Testing for the Constancy of Parameters over Time" @default.
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- W2097633087 doi "https://doi.org/10.1080/01621459.1989.10478759" @default.
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