Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap

DOI10.1002/ASMB.2482MaRDI QIDQ6574635FDOQ6574635

Haejune Oh, Sangyeol Lee

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

wild bootstrapCUSUM testparameter change testresidual bootstraplocation-scale time series models with heteroscedasticity

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Stability of nonlinear AR-GARCH models
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• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• Estimation of change-points in linear and nonlinear time series models
• Quantile regression for location-scale time series models with conditional heteroscedasticity

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