|Table of Contents|

Testing for Change-Point of the P-Order Autoregressive Time Series Model(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2010年02期
Page:
13-17
Research Field:
数学
Publishing date:

Info

Title:
Testing for Change-Point of the P-Order Autoregressive Time Series Model
Author(s):
Zhang Liwen; Zhou Xiuqing
School of Mathematical Sciences,Nanjing Normal University,Nanjing 210097,China
Keywords:
chang e-po int;  au to regress ive models;  them ax imum likelihood;  the least squares me thod
PACS:
O212.1
DOI:
-
Abstract:
Change-po int prob lem is a new top ic in the statistics. In th is paper, w e consider the change-point problem in the p-o rder autoregressive tim e ser ies m ode .l When the var iance σ2 is unknown, w e use them ax inum likelihood m ethod and the least squares estim a tion to g ive the test statistics and atta in the ir asym ptotic distributions for the change-po int. W e g iv e the ir proofs at last.

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Last Update: 2013-04-08