Quasi-autocorrelation coefficient change test of heavy-tailed sequences based on M-estimation

Quasi-autocorrelation coefficient change test of heavy-tailed sequences based on M-estimation

A new test to detect the change-point in the quasi-autocorrelation coefficient (QAC) structure of a simple linear model with heavy-tailed series was developed. It is more general than previous approaches to the change-point problem in that it allows for the process with innovations in the domain of...

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Bibliographic Details
Main Authors: Xiaofeng Zhang, Hao Jin, Yunfeng Yang
Format: Article
Language:English
Published: AIMS Press 2024-06-01
Series:AIMS Mathematics
Subjects:
autocorrelation coefficient change
moving window method
m-estimation
heavy-tailed
ratio-typed test
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2024955?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2024955?viewType=HTML

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