Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
نویسندگان
چکیده
منابع مشابه
Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
The question whether a time series behaves as a random walk or as a stationary process is an important and delicate problem, particularly arising in financial statistics, econometrics, and engineering. This paper studies the problem to detect sequentially that the error terms in a polynomial regression model no longer behave as a random walk but as a stationary process. We provide the asymptoti...
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ژورنال
عنوان ژورنال: Sequential Analysis
سال: 2008
ISSN: 0747-4946,1532-4176
DOI: 10.1080/07474940802241058