Asymptotic properties of monitoring procedure for parameter change in heteroscedastic time series models

被引：0

作者：

Kim, Soo Taek ^{[1
]}

Oh, Hae June ^{[1
]}

机构：

[1] Gyeongsang Natl Univ, Dept Informat & Stat, 501 Jinju Daero, Jinju 52828, South Gyeongsan, South Korea

来源：

KOREAN JOURNAL OF APPLIED STATISTICS | 2020年 / 33卷 / 04期

基金：

新加坡国家研究基金会;

关键词：

monitoring procedure; parameter change; sequential procedures; location-scale time series; modified residual CUSUM; CHANGE-POINT DETECTION; CUSUM TEST;

D O I：

10.5351/KJAS.2020.33.4.467

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 investigate a monitoring procedure for the early detection of parameter changes in location-scale time series models. We introduce a detector for monitoring procedure based on modified residual cumulative sum (CUSUM). The asymptotic properties of the monitoring procedure are established under the null and alternative hypotheses. Simulation results and data analysis are also provided for illustration.

引用

页码：467 / 482

页数：16

共 27 条

[1] Reaction times of monitoring schemes for ARMA time series [J].