Parameter change test for autoregressive conditional duration models

DOI10.1007/S10463-015-0541-XzbMATH Open1359.62351OpenAlexW2184916077MaRDI QIDQ287530FDOQ287530

Authors: Sangyeol Lee, Haejune Oh 

Publication date: 20 May 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-015-0541-x

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zbMATH Keywords

Brownian bridgeCUSUM testnonlinear ACD modelsparameter change test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: hypothesis testing (62M07) Functional limit theorems; invariance principles (60F17)

Cites Work

• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Title not available (Why is that?)
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• A test for a change in a parameter occurring at an unknown point
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• A family of autoregressive conditional duration models
• The Cusum Test for Parameter Change in Time Series Models
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Test for tail index change in stationary time series with Pareto-type marginal distribution
• Monitoring parameter change in time series models
• Change point detection in SCOMDY models
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Parameter Change Test for Poisson Autoregressive Models
• Change point detection in copula ARMA-GARCH models
• Test for parameter change in ARMA models with GARCH innovations

Cited In (13)

• Parameter change test for periodic integer-valued autoregressive process
• Parameter change test for nonlinear time series models with GARCH type errors
• Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
• Testing for a change in the parameter values and order of an autoregressive model
• On change point test for ARMA-GARCH models: bootstrap approach
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
• Recent progress in parameter change test for integer-valued time series models
• Entropy test and residual empirical process for autoregressive conditional duration models
• Deterministic parameter change models in continuous and discrete time
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Test for Parameter Change in ARIMA Models
• Parameter Change Test for Poisson Autoregressive Models

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