On the detection of changes in autoregressive time series, II.: Resampling procedures

被引：40

作者：

Huskova, Marie ^{[3
]}

Kirch, Claudia ^{[2
]}

Praskova, Zuzana ^{[3
]}

Steinebach, Josef ^{[1
]}

机构：

[1] Univ Cologne, Inst Math, D-50931 Cologne, Germany

[2] Univ Kaiserslautern, Fachbereich Math, D-67653 Kaiserslautern, Germany

[3] Charles Univ Prague, Dept Stat, CZ-18675 Prague 8, Czech Republic

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2008年 / 138卷 / 06期

关键词：

change point analysis; bootstrap; resampling; autoregressive time series;

D O I：

10.1016/j.jspi.2007.06.029

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study an autoregressive time series model with a possible change in the regression parameters. Approximations to the critical values for change-point tests are obtained through various bootstrapping methods. Theoretical results show that the bootstrapping procedures have the same limiting behavior as their asymptotic counterparts discussed in Huskova et al. [2007. On the detection of changes in autoregressive time series, I. Asymptotics. J. Statist. Plann. Inference 137, 1243-1259]. In fact, a small simulation study illustrates that the bootstrap tests behave better than the original asymptotic tests if performance is measured by the alpha- and beta-errors, respectively. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：1697 / 1721

页数：25

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