Testing epidemic change in nearly nonstationary process with statistics based on residuals

Jurgita Markevičiūtė, Alfredas Račkauskas, Charles Suquet

We study an epidemic type change in innovations of a first order autoregressive process $y_{n,k}={\phi }_n{y}_{n,k-1}+{\epsilon }_k+a_{n,k}$, where ${\varphi }_n$ is either a constant in $(-1,1)$ o…