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math.ST2021
Changepoint detection in random coefficient autoregressive models
Lajos Horvath, Lorenzo Trapani
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient AutoRegressiv…
math.ST2019
Testing for strict stationarity in a random coefficient autoregressive model
Lorenzo Trapani
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the alternative of non-stationarity, in the context of a Random Coefficient AutoRegression…