Structural change monitoring for random coefficient autoregressive time series

DOI10.1080/03610918.2013.800205MaRDI QIDQ5259144zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 9266 (Why is no real title available?)
• Autoregressive series with random parameters
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Estimation mean change-point in ARCH models with heavy-tailed innovations
• Monitoring Structural Change
• Monitoring change in persistence in linear time series
• Monitoring parameter changes for random coefficient autoregressive models
• Nonparametric predictive inference with right-censored data
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Strong approximation for RCA(1) time series with applications
• Testing for parameter stability in \(RCA(1)\) time series
• The Cusum Test for Parameter Change in Time Series 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
• Monitoring parameter changes for random coefficient autoregressive models
• Monitoring parameter changes in RCA(\(p\)) models
• Random autoregressive models: a structured overview

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