Lp-functionals for change point detection in random coefficient autoregressive models

被引：0
|
作者：
Horvath, Lajos [1 ]
Trapani, Lorenzo [2 ]
机构：
[1] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA
[2] Univ Leicester, Business Sch, Univ Rd, Leicester LE1 7RH, England
来源：
STATISTICS & PROBABILITY LETTERS | 2023年 / 201卷
关键词：
Changepoint problem; Weighted CUSUM process; Random Coefficient AutoRegression; Darling-Erdos theorem;
D O I：
10.1016/j.spl.2023.109829
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study a family of Lp-functionals of the weighted CUSUM test statistic to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient AutoRegressive sequence of order 1 (RCA(1)). Our statistics are robust against the presence of heteroskedasticity of unknown form, and can be applied irrespective of whether the sequence is stationary or not, with no prior knowledge of stationarity or lack thereof required. & COPY; 2023 Published by Elsevier B.V.
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页数：9
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