Location and scale-based CUSUM test with application to autoregressive models

DOI10.1080/00949655.2020.1775833MaRDI QIDQ5033423zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee

Publication date 23 February 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2020.1775833

zbMATH Keywords

ARMA modelparameter change testinfinite order AR modellocation and scale-based CUSUM testvector AR model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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• On the Cusum test for parameter changes in garch(1,1) Models
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for nonlinear time series models with GARCH type errors
• Testing for parameter constancy in GARCH\((p,q)\) models
• Testing for parameter stability in nonlinear autoregressive models
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• Time series analysis and its applications. With R examples
• Time series: theory and methods.
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(7)

• Recent progress in parameter change test for integer-valued time series models
• Change point test for structural vector autoregressive model via independent component analysis
• Test for conditional quantile change in general conditional heteroscedastic time series models
• Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• Multiple values-inflated bivariate INAR time series of counts: featuring zero-one inflated Poisson-Lindly case
• On CUSUM test for dynamic panel models

Describes a project that uses

Uses Software

• astsa

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