Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise

Brouste, A; Cai, CH; Soltane, M; Wang, LM

Brouste, A (corresponding author), Mans Univ, Lab Manceau Math, Ave Olivier Messiaen, F-72085 Le Mans 9, France.

STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 2020; 23 (2): 301

Abstract

The likelihood ratio test for a change in the mean-reverting parameter of a first order autoregressive model with stationary Gaussian noise is conside......

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