40 citations · 40 across the 2 of their papers we have counts for
2 papers
stat.ME2009
Estimation in nonstationary random coefficient autoregressive models
Istvan Berkes, Lajos Horvath, Shiqing Ling
We investigate the estimation of parameters in the random coefficient autoregressive model. We consider a nonstationary RCA process and show that the innovation variance parameter…
math.ST2008★ 40 cited
Ratio tests for change point detection
Lajos Horváth, Zsuzsanna Horváth, Marie Hušková
We propose new tests to detect a change in the mean of a time series. Like many existing tests, the new ones are based on the CUSUM process. Existing CUSUM tests require an estimat…