Strong approximation for RCA(1) time series with applications

DOI10.1016/J.SPL.2004.04.007MaRDI QIDQ1881237zbMATH OpenOpenAlexFDO

Authors Alexander Aue

Publication date 4 October 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2004.04.007

zbMATH Keywords

CUSUM testa posteriori testsRCA time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Functional limit theorems; invariance principles (60F17)

Recommendations

• Testing for parameter stability in \(RCA(1)\) time series
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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 3062496 (Why is no real title available?)
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• An approximation of partial sums of independent RV's, and the sample DF. II
• An invariance principle for the law of the iterated logarithm
• Delay time in sequential detection of change
• Detection of changes in linear sequences
• Monitoring Structural Change
• Monitoring changes in linear models
• On strong invariance principles under dependence assumptions
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

Cited in

(10)

• Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
• Structural change monitoring for random coefficient autoregressive time series
• Strong approximations and sequential change-point analysis for diffusion processes
• Testing for parameter stability in \(RCA(1)\) time series
• Monitoring parameter changes in RCA(\(p\)) models
• Properties of a new family of volatility sign models
• Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
• Monitoring changes in RCA models
• RCA models with GARCH innovations
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models

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