Testing the epidemic change in nearly nonstationary autoregressive processes

被引：4

作者：

Markeviciute, Jurgita ^{[1
,2
]}

Rackauskas, Alfredas ^{[1
]}

Suquet, Charles ^{[2
]}

机构：

[1] Vilnius State Univ, Fac Math & Informat, LT-03225 Vilnius, Lithuania

[2] Univ Lille 1, CNRS, UMR 8524, Lab P Painleve, F-59655 Villeneuve Dascq, France

来源：

NONLINEAR ANALYSIS-MODELLING AND CONTROL | 2014年 / 19卷 / 01期

关键词：

autoregressive process; epidemic change; uniform increments statistics; test power analysis;

D O I：

10.15388/NA.2014.1.5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Some tests for an epidemic type change in a first order nearly nonstationary autoregressive process are investigated. Limit distributions of the tests are found under no change. Consistency is examined under short epidemics in the mean of innovations.

引用

页码：67 / 82

页数：16

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