PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS

DOI10.4134/JKMS.2015.52.3.503zbMath1312.62109MaRDI QIDQ5253398

Ji-Yeon Lee, Sangyeol Lee

Publication date: 22 May 2015

Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=412634

zbMATH Keywords

CUSUM testparameter changeweak convergence to a Brownian bridgenonlinear time series models with GARCH type errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Location and scale-based CUSUM test with application to autoregressive models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Residual-based CUSUM of squares test for Poisson integer-valued GARCH models ⋮ Randomised pseudolikelihood ratio change point estimator in GARCH models ⋮ On change point test for ARMA-GARCH models: bootstrap approach ⋮ Parameter change test for zero-inflated generalized Poisson autoregressive models ⋮ On CUSUM test for dynamic panel models ⋮ On score vector- and residual-based CUSUM tests in ARMA-GARCH models ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity

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