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

DOI10.1007/s10463-018-0679-4zbMath1431.62406OpenAlexW2883198614MaRDI 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

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

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