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Test for Parameter Change in Linear Processes Based on Whittle's Estimator.
- Source :
-
Communications in Statistics: Theory & Methods . Aug2007, Vol. 36 Issue 11, p2129-2141. 13p. 4 Charts. - Publication Year :
- 2007
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 36
- Issue :
- 11
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 25970342
- Full Text :
- https://doi.org/10.1080/03610920601143881