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

DOI10.1080/00949655.2020.1775833OpenAlexW3035662842MaRDI QIDQ5033423FDOQ5033423

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

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• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Parameter change test for nonlinear time series models with GARCH type errors
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• Estimation of change-points in linear and nonlinear time series models
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity

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

Uses Software

• astsa

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