Structural change monitoring for random coefficient autoregressive time series
DOI10.1080/03610918.2013.800205zbMATH Open1325.62169OpenAlexW2074980994MaRDI QIDQ5259144FDOQ5259144
Authors: Fuxiao Li, Zheng Tian, Peiyan Qi 
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
Recommendations
- Monitoring changes in RCA models
- Monitoring parameter changes in RCA(\(p\)) models
- Monitoring parameter changes for random coefficient autoregressive models
- \(L_p\)-functionals for change point detection in random coefficient autoregressive models
- The Cusum Test for Parameter Change in Time Series Models
boundary functionchange point monitoringrandom coefficient autoregressive time series of order \(p\)
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 (7)
- \(L_p\)-functionals for change point detection in random coefficient autoregressive models
- Monitoring changes in RCA 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
- Random autoregressive models: a structured overview
- Monitoring parameter changes for random coefficient autoregressive models
- Monitoring parameter changes in RCA(\(p\)) models
This page was built for publication: Structural change monitoring for random coefficient autoregressive time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5259144)
