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Testing a Class of Piece-Wise CHARN Models with Application to Change-Point Study

Authors :
Youssef Salman
Joseph Ngatchou-Wandji
Zaher Khraibani
Source :
Mathematics, Vol 12, Iss 13, p 2092 (2024)
Publication Year :
2024
Publisher :
MDPI AG, 2024.

Abstract

We study a likelihood ratio test for testing the conditional mean of a class of piece-wise stationary CHARN models. We establish the locally asymptotically normal (LAN) structure of the family of likelihoods under study. We prove that the test is asymptotically optimal, and we give an explicit form of its asymptotic local power. We describe an algorithm for detecting change points and estimating their locations. The estimates are obtained as time indices, maximizing the estimate of the local power. The simulation study we conduct shows the good performance of our method on the examples considered. This method is also applied to a set of financial data.

Details

Language :
English
ISSN :
22277390
Volume :
12
Issue :
13
Database :
Directory of Open Access Journals
Journal :
Mathematics
Publication Type :
Academic Journal
Accession number :
edsdoj.9472601f17944a539066b563b6b60f55
Document Type :
article
Full Text :
https://doi.org/10.3390/math12132092