Monitoring parameter changes in RCA(\(p\)) models

DOI10.1016/j.jkss.2014.06.001zbMath1311.62123OpenAlexW2086711750MaRDI QIDQ2513794

Fuxiao Li, Zheng Tian, Peiyan Qi, Zhanshou Chen

Publication date: 29 January 2015

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.2014.06.001

zbMATH Keywords

boundary functionchange point monitoringrandom coefficient autoregressive models of order \(p\)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Random autoregressive models: A structured overview ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models

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