Parameter change test for autoregressive conditional duration models

DOI10.1007/S10463-015-0541-XMaRDI QIDQ287530zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Haejune Oh

Publication date 20 May 2016

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

Full work available at URL https://doi.org/10.1007/s10463-015-0541-x

zbMATH Keywords

Brownian bridgeCUSUM testnonlinear ACD modelsparameter change test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: hypothesis testing (62M07) Functional limit theorems; invariance principles (60F17)

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Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• A family of autoregressive conditional duration models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• A test for a change in a parameter occurring at an unknown point
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Change point detection in SCOMDY models
• Change point detection in copula ARMA-GARCH models
• Monitoring parameter change in time series models
• Parameter Change Test for Poisson Autoregressive Models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Test for parameter change in ARMA models with GARCH innovations
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• The Cusum Test for Parameter Change in Time Series Models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(13)

• Test for Parameter Change in ARIMA Models
• Parameter change test for nonlinear time series models with GARCH type errors
• Entropy test and residual empirical process for autoregressive conditional duration models
• Deterministic parameter change models in continuous and discrete time
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
• Testing for a change in the parameter values and order of an autoregressive model
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Recent progress in parameter change test for integer-valued time series models
• On change point test for ARMA-GARCH models: bootstrap approach
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for periodic integer-valued autoregressive process
• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models

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