Monitoring distributional changes in autoregressive models based on a weighted empirical process of residuals

DOI10.3770/J.ISSN:2095-2651.2015.03.011zbMATH Open1340.62086MaRDI QIDQ3462811FDOQ3462811

Authors: Fuxiao Li, Zheng Tian, Zhanshou Chen 

Publication date: 15 January 2016

Recommendations

• Monitoring Distributional Changes in Autoregressive Models
• Monitoring changes in the error distribution of autoregressive models based on Fourier methods
• Fourier methods for sequential change point analysis in autoregressive models
• Monitoring distributional changes of squared residuals in GARCH models
• Bootstrap procedures for online monitoring of changes in autoregressive models

zbMATH Keywords

autoregressive modelsdistributional changesweighted empirical process of residuals

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (5)

• Bootstrap procedures for online monitoring of changes in autoregressive models
• Fourier methods for sequential change point analysis in autoregressive models
• Monitoring Distributional Changes in Autoregressive Models
• Monitoring changes in the error distribution of autoregressive models based on Fourier methods
• Monitoring distributional changes of squared residuals in GARCH models

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