Detecting changes in the ar parameters of a nonstationary arma process

1 February 1986

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 16 (1-2) , 137-155
https://doi.org/10.1080/17442508608833370

Abstract

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.

Keywords

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