Testing and estimating change-points in time series

Abstract

The aim of this paper is to present a few techniques which may be useful in the analysis of time series when a failure is suspected. We present two categories of tests and investigate their asymptotic properties: one, of nonparametric type, is intended to detect a general failure in spectrum; the other investigates the properties of likelihood ratio tests in parametric models which have a non-standard behaviour in this situation. Finally, we obtain the asymptotic distribution of the likelihood estimators of the change parameters.