The Cusum Test for Parameter Change in Time Series Models
AbstractIn this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider the change of the parameters in a random coeefficient autoregressive (1) model and that of the autocovariances of a linear process. Simulation results are reported for illustration. Copyright 2003 Board of the Foundation of the Scandinavian Journal of Statistics..
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Bibliographic InfoArticle provided by Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association in its journal Scandinavian Journal of Statistics.
Volume (Year): 30 (2003)
Issue (Month): 4 ()
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