The Annals of Statistics

Testing for a Change in the Parameter Values and Order of an Autoregressive Model

Abstract

The problem of testing whether or not a change has occurred in the parameter values and order of an autoregressive model is considered. It is shown that if the white noise in the AR model is weakly stationary with finite fourth moments, then under the null hypothesis of no changepoint, the normalized Gaussian likelihood ratio test statistic converges in distribution to the Gumbel extreme value distribution. An asymptotically distribution-free procedure for testing a change of either the coefficients in the AR model, the white noise variance or the order is also proposed. The asymptotic null distribution of this test is obtained under the assumption that the third moment of the noise is zero. The proofs of these results rely on Horvath's extension of Darling-Erdos' result for the maximum of the norm of a $k$-dimensional Ornstein-Uhlenbeck process and an almost sure approximation to partial sums of dependent random variables.

Article information

Source
Ann. Statist., Volume 23, Number 1 (1995), 282-304.

Dates
First available in Project Euclid: 11 April 2007

https://projecteuclid.org/euclid.aos/1176324468

Digital Object Identifier
doi:10.1214/aos/1176324468

Mathematical Reviews number (MathSciNet)
MR1331669

Zentralblatt MATH identifier
0822.62072

JSTOR