Monitoring the parameter changes in general ARIMA time series models

DOI10.1080/0266476032000076119MaRDI QIDQ3591875zbMATH OpenOpenAlexFDO

Authors Yuzhi Cai, Neville Davies

Publication date 11 September 2007

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0266476032000076119

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Bayesian methods for change-point detection in long-range dependent processes
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Run-Length Distributions of Special-Cause Control Charts for Correlated Processes
• Sequential Procedures for Detecting Parameter Changes in a Time-Series Model
• Testing for a change of the long-memory parameter
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Time series: theory and methods.

Cited in

(4)

• Reaction times of monitoring schemes for ARMA time series
• Bootstrap procedures for online monitoring of changes in autoregressive models
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• PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS

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