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Detecting Changes in the Regression Parameter of AR(1) and RCA(1) Processes with Changing Errors

In: Asymptotic and Methodological Statistics

Author

Listed:
  • Lajos Horváth

    (University of Utah, Department of Mathematics)

Abstract

We investigate change points in the autoregression parameters of AR(1) and RCA(1) sequences. The errors are allowed to be heteroscedastic. We split the data into two subsets at time k and estimate the autoregression parameter from both subsamples. If the difference between the estimates is large for some k, we reject the stability of the data. We discuss the effect of heteroscedasticity on the limit processes.

Suggested Citation

  • Lajos Horváth, 2026. "Detecting Changes in the Regression Parameter of AR(1) and RCA(1) Processes with Changing Errors," Springer Books, in: Daniel Hlubinka & Šárka Hudecová & Matúš Maciak & Michal Pešta (ed.), Asymptotic and Methodological Statistics, chapter 0, pages 59-82, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-07178-1_4
    DOI: 10.1007/978-3-032-07178-1_4
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