Epidemic change-point detection in general causal time series
| العنوان: | Epidemic change-point detection in general causal time series |
|---|---|
| المؤلفون: | Mamadou Lamine Diop, William Kengne |
| سنة النشر: | 2021 |
| مصطلحات موضوعية: | Statistics and Probability, FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST), Statistics, Probability and Uncertainty |
| الوصف: | We consider an epidemic change-point detection in a large class of causal time series models, including among other processes, AR($\infty$), ARCH($\infty$), TARCH($\infty$), ARMA-GARCH. A test statistic based on the Gaussian quasi-maximum likelihood estimator of the parameter is proposed. It is shown that, under the null hypothesis of no change, the test statistic converges to a distribution obtained from a difference of two Brownian bridge and diverges to infinity under the epidemic alternative. Numerical results for simulation and real data example are provided. arXiv admin note: text overlap with arXiv:2103.13336 |
| اللغة: | English |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a68efb14c2ab8ee16bb9ee0f38d7c4bc http://arxiv.org/abs/2105.13836 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....a68efb14c2ab8ee16bb9ee0f38d7c4bc |
| قاعدة البيانات: | OpenAIRE |
| الوصف غير متاح. |