On score vector- and residual-based CUSUM tests in ARMA-GARCH models

DOI10.1007/s10260-017-0408-9zbMath1427.62104OpenAlexW2766682229MaRDI QIDQ2324264

Haejune Oh, Sangyeol Lee

Publication date: 11 September 2019

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-017-0408-9

zbMATH Keywords

CUSUM testparameter change testARMA-GARCH modelsweak convergence to a Browinan bridge

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Brownian motion (60J65) Sequential statistical analysis (62L10)

Related Items (8)

Location and scale-based CUSUM test with application to autoregressive models ⋮ The asymptotic distribution of CUSUM estimator based on α-mixing sequences ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Test for conditional quantile change in GARCH models ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models ⋮ On CUSUM test for dynamic panel models ⋮ The CUSUM statistic of change point under NA sequences ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study

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