Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise

被引：0
|
作者：
Alexandre Brouste
Chunhao Cai
Marius Soltane
Longmin Wang
机构：
[1] Le Mans Université,Laboratoire Manceau de Mathématiques
[2] Shanghai University of Finance and Economics,School of Mathematics
[3] Nankai University,School of Mathematical Science
来源：
Statistical Inference for Stochastic Processes | 2020年 / 23卷
关键词：
Autoregressive model; Change-point; Fractional Gaussian noise; Likelihood ratio test; Strong invariance principle;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The likelihood ratio test for a change in the mean-reverting parameter of a first order autoregressive model with stationary Gaussian noise is considered. The test statistic converges in distribution to the Gumbel extreme value distribution under the null hypothesis of no change-point for a large class of covariance structures including long-memory processes as the fractional Gaussian noise.
引用
收藏
页码：301 / 318
页数：17
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