Test for Parameter Change in ARIMA Models

DOI10.1080/03610910600591537MaRDI QIDQ5481629zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Siyun Park, Koichi Maekawa, Ken-ichi Kawai

Publication date 10 August 2006

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

Full work available at URL http://ir.lib.hiroshima-u.ac.jp/00017213

zbMATH Keywords

ARIMA modelBrownian bridgeautocovariance functionCUSUM testgraphical methodtest for parameter changes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• On residual empirical processes of stochastic regression models with applications to time series
• Testing and estimating change-points in time series
• The Cusum Test for Parameter Change in Time Series Models
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Weak convergence of the sequential empirical processes of residuals in ARMA models

Cited in

(5)

• Testing for structural change of AR model to threshold AR model
• Monitoring the parameter changes in general ARIMA time series models
• Testing for a change in the parameter values and order of an autoregressive model
• Test for parameter change in ARMA models with GARCH innovations
• The Integration of Artificial Neural Networks and Text Mining to Forecast Gold Futures Prices

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