• Journal of the Korean Data and Information Science Society
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• v.24 no.3
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• pp.637-642
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• 2013

In this paper, we consider the maximum entropy test in in nite order autoregressiv models. Its asymptotic distribution is derived under the null hypothesis. A bootstrap version of the test is discussed and its performance is evaluated through Monte Carlo simulations.

• Journal of the Korean Statistical Society
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• v.29 no.3
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• pp.351-360
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• 2000

This paper considers the problem of testing a variance change in infinite order autoregressive models. A cusum of squares test based on the residuals from an AR(q) model is constructed analogous to Inclan and Tiao (1994)'s test statistic, where q is a sequence of positive integers diverging to $\infty$. It is shown that under regularity conditions the limiting distribution of the test statistic is the sup of a standard Brownian bridge. Simulation results are given to illustrate the performance of the test.