Publikace na Matematicko-fyzikální fakulta |
2014
Abstrakt
Procedures detecting a change of regression parameters in a linear model are considered when both the regressors and errors are weakly dependent in the sense of L-p-m-approximability. M-estimators and weighted M-residuals are used to construct test statistics, and their asymptotic distribution is studied under the null hypothesis of no change and under contiguous alternatives.
Estimators of a long-run variance are also considered and studied both analytically and numerically.