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Structural changes in autoregressive models for binary time series
Authors:Šárka Hudecová
Institution:Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Sokolovská 83, CZ-186 75 Prague 8, Czech Republic
Abstract:We study autoregressive models for binary time series with possible changes in their parameters. A procedure for detection and testing of a single change is suggested. The limiting behavior of the test statistic is derived. The performance of the test is analyzed under the null hypothesis as well as under different alternatives via a simulation study. Application of the method to a real data set on US recession is provided as an illustration.
Keywords:Binary time series  Change point analysis  Extreme value asymptotics  Autoregressive models for binary time series
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