CUSUM tests for change points in AR(P) models

CUSUM tests for change points in AR(P) models

Minghua Wu

School of Science, Xi’an University of Science and Technology, Xi’an 710054, China

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This paper analyzes the problem of testing for change points in processes by CUSUM test using asymptotic theory. The limiting distribution of test statistic is derived and Monte Carlo simulation is provided. It shown that the empirical power not only depends on the sample size, but is sensitive to the magnitude of location of structural breaks.


Change Points, CUSUM Test, Asymptotic Distribution, AR(P) Processes.

1. Introduction
2. Assumptions and Models
3. Main Results
4. Simulations
5. Concluding Remarks

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