Modified residual CUSUM test for location-scale time series models with heteroscedasticity

DOI10.1007/s10463-018-0679-4zbMath1431.62406OpenAlexW2883198614WikidataQ129461317 ScholiaQ129461317MaRDI QIDQ2330526

Haejune Oh, Sangyeol Lee

Publication date: 22 October 2019

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-018-0679-4

zbMATH Keywords

CUSUM testparameter change testresidual-based testlocation-scale time series models with heteroscedasticityscore vector-based test

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Location and scale-based CUSUM test with application to autoregressive models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Test for conditional quantile change in GARCH models ⋮ Real-time detection of a change-point in a linear expectile model ⋮ Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations ⋮ Change point test for structural vector autoregressive model via independent component analysis ⋮ Residual-based CUSUM of squares test for Poisson integer-valued GARCH models ⋮ Exponential family QMLE-based CUSUM test for integer-valued time series ⋮ Conditional quantile change test for time series based on support vector regression ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models ⋮ On CUSUM test for dynamic panel models ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study

Cites Work

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