Related Articles ( AR(1) series, Approximate p-value, Asymptotic distribution, Change point detection, Hansen's method, Martingale test statistic )
Approximating P-values of Change Point Martingale Test Statistics in AR (1) Series
One of the most widely used models in financial economics is the first-order autoregressive 𝐴𝑅 (1) time series. This model is used in modeling stock returns, inflation, and stress testing studies of many banking risks. Due to changing economic conditions in countries, the parameters of this model change ...