Geodesic
Change point detection in vector autoregression
Kybernetika, Tome 54 (2018) no. 6, pp. 1122-1137.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

In the paper a sequential monitoring scheme is proposed to detect instability of parameters in a multivariate autoregressive process. The proposed monitoring procedure is based on the quasi-likelihood scores and the quasi-maximum likelihood estimators of the respective parameters computed from a training sample, and it is designed so that the sequential test has a small probability of a false alarm and asymptotic power one as the size of the training sample is sufficiently large. The asymptotic distribution of the detector statistic is established under both the null hypothesis of no change as well as under the alternative that a change occurs.
DOI : 10.14736/kyb-2018-6-1122
Classification : 62E20, 62M10
Keywords: vector autoregression; change point; quasi-maximum likelihood 
@article{10_14736_kyb_2018_6_1122,
     author = {Pr\'a\v{s}kov\'a, Zuzana},
     title = {Change point detection in vector autoregression},
     journal = {Kybernetika},
     pages = {1122--1137},
     publisher = {mathdoc},
     volume = {54},
     number = {6},
     year = {2018},
     doi = {10.14736/kyb-2018-6-1122},
     mrnumber = {3902624},
     zbl = {07031764},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1122/}
}
TY  - JOUR
AU  - Prášková, Zuzana
TI  - Change point detection in vector autoregression
JO  - Kybernetika
PY  - 2018
SP  - 1122
EP  - 1137
VL  - 54
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1122/
DO  - 10.14736/kyb-2018-6-1122
LA  - en
ID  - 10_14736_kyb_2018_6_1122
ER  - 
%0 Journal Article
%A Prášková, Zuzana
%T Change point detection in vector autoregression
%J Kybernetika
%D 2018
%P 1122-1137
%V 54
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1122/
%R 10.14736/kyb-2018-6-1122
%G en
%F 10_14736_kyb_2018_6_1122
Prášková, Zuzana. Change point detection in vector autoregression. Kybernetika, Tome 54 (2018) no. 6, pp. 1122-1137. doi : 10.14736/kyb-2018-6-1122. http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1122/

Cité par Sources :