Structural change monitoring for random coefficient autoregressive time series

DOI10.1080/03610918.2013.800205zbMATH Open1325.62169OpenAlexW2074980994MaRDI QIDQ5259144FDOQ5259144

Peiyan Qi, Zheng Tian, Fuxiao Li

Publication date: 24 June 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.800205

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zbMATH Keywords

boundary functionchange point monitoringrandom coefficient autoregressive time series of order \(p\)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Monitoring Structural Change
• Nonparametric predictive inference with right-censored data
• The Cusum Test for Parameter Change in Time Series Models
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Testing for parameter stability in \(RCA(1)\) time series
• Autoregressive series with random parameters
• Monitoring change in persistence in linear time series
• Strong approximation for RCA(1) time series with applications
• Estimation Mean Change-Point in ARCH Models with Heavy-Tailed Innovations
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Title not available (Why is that?)
• Monitoring parameter changes for random coefficient autoregressive models

Cited In (4)

• Random autoregressive models: A structured overview
• \(L_p\)-functionals for change point detection in random coefficient autoregressive models
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing

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