Article1985

Testing and estimating change-points in time series

338 citations0/0 files storedAdvances in Applied Probability

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Advanced Statistical Process Monitoring Probability and Statistical Research Statistical Methods and Inference

Abstract

The aim of this paper is to present a few techniques which may be useful in the analysis of time series when a failure is suspected. We present two categories of tests and investigate their asymptotic properties: one, of nonparametric type, is intended to detect a general failure in spectrum; the other investigates the properties of likelihood ratio tests in parametric models which have a non-standard behaviour in this situation. Finally, we obtain the asymptotic distribution of the likelihood estimators of the change parameters.

Citations in this library

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References

1977Time Series Analysis: Forecasting and Control 1971Time Series Analysis, Forecasting and Control.1970Inference About the Change-Point in a Sequence of Random Variables

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