Testing the epidemic change in nearly nonstationary autoregressive processes
Articles
Jurgita Markevičiūtė
Vilnius University, Lithuania; Université Lille I,  France
Alfredas Račkauskas
Vilnius University, Lithuania
Charles Suquet
Université Lille I, France
Published 2014-01-20
https://doi.org/10.15388/NA.2014.1.5
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Keywords

autoregressive process
epidemic change
uniform increments statistics
test power analysis

How to Cite

Markevičiūtė J., Račkauskas A. and Suquet C. (2014) “Testing the epidemic change in nearly nonstationary autoregressive processes”, Nonlinear Analysis: Modelling and Control, 19(1), pp. 67-82. doi: 10.15388/NA.2014.1.5.

Abstract

Some tests for an epidemic type change in a first order nearly nonstationary autoregressive process are investigated. Limit distributions of the tests are found under no change. Consistency
is examined under short epidemics in the mean of innovations.

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