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Fourier Methods for Sequential Change Point Analysis in Autoregressive Models

In: Proceedings of COMPSTAT'2010

Author

Listed:
  • Marie Hušková

    (Charles University of Prague, Department of Statistics)

  • Claudia Kirch

    (Karlsruhe Institute of Technology, Institute for Stochastics)

  • Simos G. Meintanis

    (National and Kapodistrian University of Athens, Department of Economics)

Abstract

We develop a procedure for monitoring changes in the error distribution of autoregressive time series. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of properly estimated residuals. The limit behavior of the test statistic is investigated under the null hypothesis, while computational and other relevant issues are addressed.

Suggested Citation

  • Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2010. "Fourier Methods for Sequential Change Point Analysis in Autoregressive Models," Springer Books, in: Yves Lechevallier & Gilbert Saporta (ed.), Proceedings of COMPSTAT'2010, pages 501-508, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2604-3_50
    DOI: 10.1007/978-3-7908-2604-3_50
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