In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown...

Contemporary tests for structural change are designed to detect a structural break within a given historical data set of fixed size. Due to the law of the iterated logarithm, these one-shot tests cannot be applied to monitor out-of-sample stability each time new data arrive. The authors propose...

The authors consider tests for changing trend that do not require prior knowledge about the location of the changepoint. The limiting distribution is derived from the functional central limit theorem and the critical value from the hitting probability of a Brownian bridge. Applying a test...

This article presents a multiple hypothesis test procedure that combines two well known tests for structural change in the linear regression model, the CUSUM test and the recursive t test. The CUSUM test is run through the sequence of recursive residuals as usual; if the CUSUM plot does not...

Maximum likelihood estimation of the concentration parameter of von Mises–Fisher distributions involves inverting the ratio <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$R_\nu=I_{\nu +1} / I_\nu $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <msub> <mi>R</mi> <mi mathvariant="italic">ν</mi> </msub> <mo>=</mo> <msub> <mi>I</mi> <mrow> <mi mathvariant="italic">ν</mi> <mo>+</mo> <mn>1</mn> </mrow> </msub> <mo stretchy="false">/</mo> <msub> <mi>I</mi> <mi mathvariant="italic">ν</mi> </msub> </mrow> </math> </EquationSource> </InlineEquation> of modified Bessel functions and computational methods are required to invert these functions using...</equationsource></equationsource></inlineequation>

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be...

This paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests from the generalized uctuation test framework as well as from the F test (Chow test) framework....