Testing for variance changes in autoregressive models with unknown order

The problem of change point in autoregressive process is studied in this article. We propose a Bayesian information criterion-iterated cumulative sums of squares algorithm to detect the variance changes in an autoregressive series with unknown order. Simulation results and two examples are presented, where it is shown to have good performances when the sample size is relatively small.

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Year of publication:	2011
Authors:	Jin, Baisuo ; Huang, Mong-Na Lo ; Miao, Baiqi
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 38.2011, 5, p. 927-936
Publisher:	Taylor & Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009225533