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arXiv · 2105.13836

Epidemic change-point detection in general causal time series

Mamadou Lamine Diop·William Kengne
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Abstract

We consider an epidemic change-point detection in a large class of causal time series models, including among other processes, AR($\infty$), ARCH($\infty$), TARCH($\infty$), ARMA-GARCH. A test statistic based on the Gaussian quasi-maximum likelihood estimator of the parameter is proposed. It is shown that, under the null hypothesis of no change, the test statistic converges to a distribution obtained from a difference of two Brownian bridge and diverges to infinity under the epidemic alternative. Numerical results for simulation and real data example are provided.

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Mamadou Lamine Diop, William Kengne. 2021-05-28. Epidemic change-point detection in general causal time series. https://arxiv.org/abs/2105.13836

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