In the doctoral dissertation, we consider problems of testing and estimating changed segment with unknown starting position and duration of epidemic state in the autoregressive first-order model. The proposed tests are based on partial sums of model residuals and model-parameter partial-estimator polygonal line processes. We derive asymptotic results for these processes in Holder spaces. The behavior of test statistics under the null hypothesis of no change and alternative is provided. Empirical power analysis has shown that tests are more powerful when absolute values of model parameter are quite large or autoregressive process changes from a stationary state to a nonstationary one. We prove the consistency of the least square changed-segment estimators and provide their convergence rates.

Raktažodžiai: structural break, AR(1) model, invariance principle, polygonal line process