Detecting changes in the ar parameters of a nonstationary arma process
作者:
George V. Moustakides,
Albert Benveniste,
期刊:
Stochastics
(Taylor Available online 1986)
卷期:
Volume 16,
issue 1-2
页码: 137-155
ISSN:0090-9491
年代: 1986
DOI:10.1080/17442508608833370
出版商: Gordon and Breach Science Publishers, Inc
关键词: Detection of changes;nonstationary ARMA processes
数据来源: Taylor
摘要:
We present a method for detecting changes in the AR parameters of an ARMA process with arbitrarily time varying MA parameters. Assuming that a collection of observations and a set of nominal time invariant AR parameters are given, we test if the observations are generated by the nominal AR parameters or by a different set of time invariant AR parameters. The detection method is derived by using a local asymptotic approach and it is based on an estimation procedure which was shown to be consistent under nonstationarities.
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