Test for Parameter Change in Linear Processes Based on Whittle's Estimator |
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| Authors: | Taewook Lee Sangyeol Lee |
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| Affiliation: | 1. Department of Statistics , Seoul National University , Seoul, Korea twlee@statcom.snu.ac.kr;3. Department of Statistics , Seoul National University , Seoul, Korea |
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| Abstract: | ![]()
In this article, we develop a cusum test for testing for parameter changes in linear processes based on Whittle's estimator. It is shown that under regularity conditions, the test statistic converges to the sup of a Brownian bridge. The result is particularly useful in handling the change point test in stationary ARMA processes. A simulation result is provided for illustration. |
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| Keywords: | Brownian bridge Cusum test Linear process Test for parameter change Weak convergence Whittle's estimator |
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