Detecting changes in the ar parameters of a nonstationary arma process
作者： George V. Moustakides , Albert Benveniste
DOI: 10.1080/17442508608833370
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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 collection observations and set nominal invariant are given, we test if generated by or different The detection is derived using local asymptotic approach it based on estimation procedure which was shown to be consistent under nonstationarities.
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