About: On Testing Changes in Autoregressive Parameters of a VAR Model     Goto   Sponge   NotDistinct   Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

AttributesValues
rdf:type
rdfs:seeAlso
Description
  • The article deals with the problem of testing a change in autoregressive matrices of the p-th order vector autoregressive process, VAR(p). The proposed test statistics are based on the likelihood ratio concept and are studied under the null hypothesis of no change in parameters. Their asymptotic behavior is derived under minimal moment assumptions in both cases where the time point of possible change is known a priori and is undefined. The Gumbel-type approximation of the test statistic is also developed, which previous papers on VAR(p) models do not cover.
  • The article deals with the problem of testing a change in autoregressive matrices of the p-th order vector autoregressive process, VAR(p). The proposed test statistics are based on the likelihood ratio concept and are studied under the null hypothesis of no change in parameters. Their asymptotic behavior is derived under minimal moment assumptions in both cases where the time point of possible change is known a priori and is undefined. The Gumbel-type approximation of the test statistic is also developed, which previous papers on VAR(p) models do not cover. (en)
Title
  • On Testing Changes in Autoregressive Parameters of a VAR Model
  • On Testing Changes in Autoregressive Parameters of a VAR Model (en)
skos:prefLabel
  • On Testing Changes in Autoregressive Parameters of a VAR Model
  • On Testing Changes in Autoregressive Parameters of a VAR Model (en)
skos:notation
  • RIV/00216208:11320/13:10159328!RIV14-MSM-11320___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...iv/cisloPeriodika
  • 7
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 93831
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/13:10159328
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • VAR models; Structural changes; Hypotheses testing (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [1CA361FFCFAD]
http://linked.open...i/riv/nazevZdroje
  • Communications in Statistics - Theory and Methods
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 42
http://linked.open...iv/tvurceVysledku
  • Dvořák, Marek
  • Prášková, Zuzana
http://linked.open...ain/vavai/riv/wos
  • 000321690400006
issn
  • 0361-0926
number of pages
http://bibframe.org/vocab/doi
  • 10.1080/03610926.2012.730166
http://localhost/t...ganizacniJednotka
  • 11320
Faceted Search & Find service v1.16.118 as of Jun 21 2024


Alternative Linked Data Documents: ODE     Content Formats:   [cxml] [csv]     RDF   [text] [turtle] [ld+json] [rdf+json] [rdf+xml]     ODATA   [atom+xml] [odata+json]     Microdata   [microdata+json] [html]    About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data] Valid XHTML + RDFa
OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 112 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software