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Testing and estimating change-points in time series

  • Dominique Picard (a1)

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.

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

References

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Testing and estimating change-points in time series

  • Dominique Picard (a1)

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