|
|||||
|
|
Testing for changes in the covariance structure of linear processes |
|
| Authors: | István Berkes Edit Gombay Lajos Horváth |
| Institution: | 1. Graz University of Technology, Institute of Statistics, Steyrergasse 17/IV, A-8010 Graz, Austria;2. Department of Mathematical Sciences, University of Alberta, Edmonton, Canada;3. Department of Mathematics, University of Utah, 155 South 1400 East Salt Lake City, UT 84112-0090, USA |
| Abstract: | 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. |
| Keywords: | primary 62M10 secondary 62G10 60F17 |
| 本文献已被 ScienceDirect 等数据库收录！ | |