Monitoring parameter change in time series models

DOI10.1007/s10260-011-0162-3zbMath1230.62119OpenAlexW1975207035MaRDI QIDQ719010

Sangyeol Lee, Okyoung Na, Youngmi Lee

Publication date: 27 September 2011

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

Full work available at URL: https://doi.org/10.1007/s10260-011-0162-3

zbMATH Keywords

GARCH modelsautocovariance of linear processesdistributional changes

Mathematics Subject Classification ID

Related Items (17)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ The asymptotic distribution of CUSUM estimator based on α-mixing sequences ⋮ Parameter change test for autoregressive conditional duration models ⋮ Monitoring procedure for parameter change in causal time series ⋮ Unnamed Item ⋮ Monitoring parameter change for bivariate time series models of counts ⋮ Sequential change point detection in ARMA-GARCH models ⋮ Monitoring distributional changes of squared residuals in GARCH models ⋮ Monitoring test for stability of copula parameter in time series ⋮ Monitoring parameter changes for random coefficient autoregressive models ⋮ Monitoring parameter changes in models with a trend ⋮ Sequential change-point detection in a multinomial logistic regression model ⋮ Monitoring Changes in RCA Models ⋮ The CUSUM statistic of change point under NA sequences ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Inference for nonstationary time series of counts with application to change-point problems ⋮ Test for parameter changes in generalized random coefficient autoregressive model

Cites Work

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• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• β-mixing and moment properties of RCA models with application to GARCH(p,q)
• The Cusum Test for Parameter Change in Time Series Models
• Monitoring Structural Change
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

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