The generalized fluctuation test: A unifying view
提出一种不假设特定备择假设的参数恒定性检验构建原则，建立统一渐近结果分析该类检验，并基于递归和移动估计的极差构造检验，模拟显示不同检验在不同备择下表现各异。
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.