Monitoring parameter change in time series models

DOI10.1007/s10260-011-0162-3zbMath1230.62119MaRDI QIDQ719010

Sangyeol Lee, Okyoung Na, Youngmi Lee

Publication date: 27 September 2011

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-011-0162-3

zbMATH Keywords

GARCH models; autocovariance of linear processes; distributional changes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Unnamed Item, Sequential change point detection in ARMA-GARCH models, Test for parameter changes in generalized random coefficient autoregressive model, Parameter change test for autoregressive conditional duration models, Monitoring test for stability of copula parameter in time series, Sequential change-point detection in a multinomial logistic regression model, The CUSUM statistic of change point under NA sequences, Monitoring procedures for strict stationarity based on the multivariate characteristic function, Monitoring parameter changes in models with a trend, Monitoring parameter changes for random coefficient autoregressive models, Monitoring procedure for parameter change in causal time series, Monitoring Changes in RCA Models, Monitoring distributional changes of squared residuals in GARCH models

Cites Work

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