The generalized fluctuation test: A unifying view

In this paper, a general principle of constructing tests for parameter constancy without assuming a specific alternative is introduced. A unified asymptotic result is established to analyze this class of tests. As applications, tests based on the range of recursive and moving estimates are considered, and their asymptotic distributions are characterized analytically. Our simulations show that different tests have quite different behavior under various alternatives and that no test uniformly dominates the other tests.

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