Parameter change tests for ARMA-GARCH models

DOI10.1016/j.csda.2017.12.002zbMath1469.62144OpenAlexW2780115854MaRDI QIDQ1662169

Jiwon Kang, Junmo Song

Publication date: 17 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2017.12.002

zbMATH Keywords

score testparameter change testARMA-GARCH modelsresidual-based CUSUM test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

A robust approach for testing parameter change in Poisson autoregressive models, Test for parameter change in the presence of outliers: the density power divergence-based approach, A Bayesian inference for time series via copula-based Markov chain models, Sequential change point detection in ARMA-GARCH models, Detecting structural breaks in realized volatility, Robust test for dispersion parameter change in discretely observed diffusion processes, An exploratory analysis approach for understanding variation in stochastic textured surfaces

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