Open AccessTesting AR(1) model
Author(s) -
Irma Rastenė
Publication year - 2021
Publication title -
lietuvos matematikos rinkinys
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.2007.24232
Subject(s) - simple (philosophy) , statistics , autoregressive model , mathematics , computer science , econometrics , epistemology , philosophy
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.