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Testing and estimating change-points in time series

Published online by Cambridge University Press:  01 July 2016

Dominique Picard
Dominique Picard*
Affiliation:
Université de Paris-Sud
*
∗Postal address: Université de Paris-Sud, XI, Bâtiment de Mathématique 425, E.R.A. CNRS 532, Statistique Appliquée, 91405 Orsay, France.
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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.

Keywords

STATIONARY PROCESSESMAXIMUM LIKELIHOOD ESTIMATORBROWNIAN MOTION

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 17 , Issue 4 , December 1985 , pp. 841 - 867
Copyright
Copyright © Applied Probability Trust 1985 

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