Testing AR(1) model
In this paper we investigate a simple AR(1) model by testing a presence of changed segment in a data. We suggest test statistics based on a behavior of partial sums of residuals.
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2021-06-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/24232 |