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

DOI10.1080/00949655.2020.1775833OpenAlexW3035662842MaRDI QIDQ5033423

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)

Related Items (6)

Recent progress in parameter change test for integer-valued time series models ⋮ Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation ⋮ Change point test for structural vector autoregressive model via independent component analysis ⋮ Residual-based CUSUM of squares test for Poisson integer-valued GARCH models ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models ⋮ On CUSUM test for dynamic panel models

Uses Software

• astsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time series: theory and methods.
• Testing for parameter constancy in GARCH\((p,q)\) models
• On residual empirical processes of stochastic regression models with applications to time series
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Change detection in autoregressive time series
• ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS
• Testing for parameter stability in nonlinear autoregressive models
• Parameter Change Test for Poisson Autoregressive Models
• A test for a change in a parameter occurring at an unknown point
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• On the Cusum test for parameter changes in garch(1,1) Models
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS
• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS

This page was built for publication: Location and scale-based CUSUM test with application to autoregressive models