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

DOI10.3770/J.ISSN:2095-2651.2015.03.011MaRDI QIDQ3462811zbMATH OpenFDO

Authors Fuxiao Li, Zheng Tian, Zhanshou Chen

Publication date 15 January 2016

Full work available at URL https://doi.org/10.3770/J.ISSN:2095-2651.2015.03.011

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)

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Cited in

(5)

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

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