The effect of autocorrelated errors on change-detection statistics.
In this paper, regression models with error terms generated by lower order ARMA schemes are analyzed. Methods are discussed for estimating the parameters of the regression coefficients and the ARMA processes. The problem of detecting changes in the regression parameters is considered. A change-detection statistic proposed by MacNeill (1978) for regression problems is modified for application to ARMA processes. The effect of autocorrelated errors on this statistic is briefly discussed.
Department of Statistical and Actuarial Science, University of Western Ontario, N6A 5B9, London, Ontario, Canada.
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Tang
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Macneill