Test for Parameter Change in ARIMA Models

DOI10.1080/03610910600591537zbMath1093.62086OpenAlexW2023409553MaRDI QIDQ5481629

Sangyeol Lee, Siyun Park, Koichi Maekawa, Ken-ichi Kawai

Publication date: 10 August 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://ir.lib.hiroshima-u.ac.jp/00017213

zbMATH Keywords

Brownian bridgeautocovariance functionCUSUM testgraphical methodARIMA modeltest for parameter changes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09)

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Cites Work

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• On residual empirical processes of stochastic regression models with applications to time series
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
• Testing and estimating change-points in time series
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• The Cusum Test for Parameter Change in Time Series Models

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