Monitoring parameter changes for random coefficient autoregressive models

DOI10.1016/j.jkss.2010.03.006zbMath1294.62210OpenAlexW2057552645MaRDI QIDQ2511566

Sangyeol Lee, Okyoung Na, Ji-Yeon Lee

Publication date: 6 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.03.006

zbMATH Keywords

time seriesmonitoring parameter changesRCA models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (5)

Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ Monitoring parameter changes in RCA(\(p\)) models ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models ⋮ Monitoring Changes in RCA Models ⋮ Structural Change Monitoring for Random Coefficient Autoregressive Time Series

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• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
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