摘要
The paper considers the problem of testing for a change point in the parameters of AR（p） models.It is shown that the asymptotically limiting distribution of the residual CUSUM of squares test（RCUSQ） is still the sup of a standard Brownian bridge under null hypothesis.We also show via simulations that our asymptotic results provide good approximations in finite samples.
基金
Supported by NSFC(70783094)
Supported by XUST(2010039)
