Testing AR(1) model

Irma  Rastenė

doi:10.15388/LMR.2007.24232

Articles

Irma Rastenė

Vilnius University

Published 2021-06-15

https://doi.org/10.15388/LMR.2007.24232

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Keywords

AR(1) model
changed segment
partial sums of residuals

How to Cite

Rastenė, I. (2021) “Testing AR(1) model”, Lietuvos matematikos rinkinys, 47(spec.), pp. 375–379. doi:10.15388/LMR.2007.24232.

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Abstract

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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